public GauntletEngine(TradeLink.API.Response r, TickFileFilter tff)
{
_r = r;
_r.SendOrder += new OrderDelegate(_r_SendOrder);
_r.SendCancel += new UIntDelegate(_r_SendCancel);
_tff = tff;
_h = new HistSim(_tff);
_h.GotTick += new TickDelegate(_h_GotTick);
_h.SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
_h.SimBroker.GotOrder += new OrderDelegate(_r.GotOrder);
_h.SimBroker.GotFill += new FillDelegate(_r.GotFill);
}
public GauntletEngine(TradeLink.API.Response r, HistSim h)
{
responseengine = r;
bindresponse(ref responseengine);
myhistsim = h;
bindsim(ref myhistsim);
SimBroker = new Broker();
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
SimBroker.GotOrder += new OrderDelegate(responseengine.GotOrder);
SimBroker.GotFill += new FillDelegate(responseengine.GotFill);
}
public GauntletEngine(TradeLink.API.Response r, TickFileFilter tff)
{
_r = r;
_r.SendOrder += new OrderDelegate(_r_SendOrder);
_r.SendCancel += new UIntDelegate(_r_SendCancel);
_tff = tff;
_h = new HistSim(_tff);
_h.GotTick += new TickDelegate(_h_GotTick);
_h.SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
_h.SimBroker.GotOrder += new OrderDelegate(_r.GotOrder);
_h.SimBroker.GotFill += new FillDelegate(_r.GotFill);
}
public GauntletEngine(TradeLink.API.Response r, TickFileFilter inittff)
{
responseengine = r;
responseengine.SendOrderEvent += new OrderSourceDelegate(_r_SendOrder);
responseengine.SendCancelEvent += new LongSourceDelegate(_r_SendCancel);
responseengine.SendDebugEvent += new DebugDelegate(_r_SendDebugEvent);
tff = inittff;
myhistsim = new MultiSimImpl(tff);
myhistsim.GotTick += new TickDelegate(_h_GotTick);
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
SimBroker.GotOrder += new OrderDelegate(responseengine.GotOrder);
SimBroker.GotFill += new FillDelegate(responseengine.GotFill);
}
public GauntletEngine(TradeLink.API.Response r, HistSim h)
{
responseengine = r;
bindresponse(ref responseengine);
myhistsim = h;
bindsim(ref myhistsim);
SimBroker = new Broker();
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
SimBroker.GotOrder += new OrderDelegate(responseengine.GotOrder);
SimBroker.GotFill += new FillDelegate(responseengine.GotFill);
}
public void RawPerformance()
{
HistSim h = new HistSim(Environment.CurrentDirectory+"\\");
h.Initialize();
h.GotTick += new TradeLink.API.TickDelegate(raw_GotTick);
tickcount = 0;
syms.Clear();
lasttime = 0;
Assert.AreEqual(0, tickcount);
Assert.AreEqual(0, syms.Count);
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1) EXPECTRAW *= 2.5;
DateTime start = DateTime.Now;
h.PlayTo(HistSim.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
// make sure ticks arrived in order
Assert.IsTrue(GOODTIME,"Tick arrived out-of-order.");
// check running time
Assert.LessOrEqual(time, EXPECTRAW,"may fail on slow machines");
Assert.AreEqual(3,syms.Count);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// variance from approximate count should be less than 1%
Assert.Less((tickcount - h.TicksPresent) / h.TicksPresent, .01);
// actual count should equal simulation count
Assert.AreEqual(h.TicksProcessed, tickcount);
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
// printout simulation runtime
Console.WriteLine("Raw runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTRAW + "sec expected.");
Console.WriteLine("Raw speed: " + ((double)tickcount / time).ToString("N0") + " ticks/sec");
}
private bool loadfile(string path)
{
string f = path;
if (isResponse(f))
{
responsedll = f;
reslist.DropDownItems.Clear();
List<string> l = Util.GetResponseList(responsedll);
if (System.IO.File.Exists(f))
if (!isRecent(f))
recent.DropDownItems.Add(f);
for (int i = 0; i < l.Count; i++)
reslist.DropDownItems.Add(l[i]);
status("Found " + l.Count + " responses. Please select one from Responses drop-down.");
return true;
}
else if (isEPF(f))
{
if (System.IO.File.Exists(f))
if (!isRecent(f) && Util.SecurityFromFileName(f).isValid)
recent.DropDownItems.Add(f);
epffiles.Add(f);
h = new HistSim(epffiles.ToArray());
h.SimBroker.GotOrder += new OrderDelegate(broker_GotOrder);
h.SimBroker.GotFill += new FillDelegate(broker_GotFill);
h.GotTick += new TickDelegate(h_GotTick);
h.SimBroker.GotOrderCancel += new OrderCancelDelegate(broker_GotOrderCancel);
updatetitle();
status("Loaded tickdata: "+PrettyEPF());
return true;
}
return false;
}
public bool Start()
{
//ensure everything is ready to start the optimization
if (!isValid)
{
debug("Invalid optimization, Must configure this optimization completely before re-starting.");
status("Optimization not configured.");
return false;
}
SIM = myhistsim;
DLL = Dll;
RNAME = ResponseName;
debug("Starting optimization, Queueing up all "+this.OptimizeCount+" combinations...");
//queue up all the possibilities
/*
List<List<string[]>> paramListList = new List<List<string[]>>();
foreach (OptimizationParam op in varListControl.Items)
{
List<string[]> paramList = new List<string[]>();
string testClass = (String)reslist.SelectedItem;
string testName = op.name.ToString();
decimal val = decimal.MinValue;
decimal max = decimal.MaxValue;
while (val < max)
{
if (val == decimal.MinValue) { val = op.low; max = op.high; }
else val += op.step;
paramList.Add(new string[] { testClass, testName, val.ToString() });
}
paramListList.Add(paramList);
}
//now we have all the possibilities in a list
//we need to combine them into all possible combos
//keep all possible combinations in a list
//each string[] is a parameter value
//each List<string[]> is a parameter set
List<List<string[]>> comboList = new List<List<string[]>>();
foreach (List<string[]> paramList in paramListList)
{
comboList = appendList(comboList, paramList);
}*/
debug("All combinations queued, Starting Gauntlet Threads");
var rh = RunHelper.run(runopt, null, debug, "runopt: " + this.ToString());
status("Optimizaton started with " + OptimizeCount + " combinations.");
return rh.isStarted;
}
public void BarPerformance()
{
HistSim h = new HistSim(Environment.CurrentDirectory + "\\");
h.GotTick += new TradeLink.API.TickDelegate(h_GotTick);
h.Initialize();
tickcount = 0;
lasttime = 0;
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1) EXPECTBARS *= 2.5;
DateTime start = DateTime.Now;
h.PlayTo(HistSim.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
Assert.GreaterOrEqual(tickcount, 50000);
Assert.AreEqual(3, bt.SymbolCount);
Assert.LessOrEqual(time, EXPECTBARS);
Console.WriteLine("BarList runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTBARS + "sec expected.");
Console.WriteLine("BarList " + ((double)tickcount / time).ToString("N0") + " ticks/sec");
}
public Optimize(string dll, string response, HistSim sim) : base(ResponseLoader.FromDLL(response,dll), sim)
{
Dll = dll;
ResponseName = response;
}
public gauntletArgs(string _dll, string _response, HistSim h)
{
dll = _dll;
response = _response;
hsim = h;
}
void unbindsim(ref HistSim h)
{
if (h != null)
{
h.GotDebug -= new DebugDelegate(h_GotDebug);
h.GotTick -= new TickDelegate(h_GotTick);
}
}
bool loadsim()
{
h = new MultiSimImpl(epffiles.ToArray());
SimBroker = new Broker();
SimBroker.GotOrder += new OrderDelegate(broker_GotOrder);
SimBroker.GotFill += new FillDelegate(broker_GotFill);
h.GotTick += new TickDelegate(h_GotTick);
SimBroker.UseBidAskFills = Properties.Settings.Default.UseBidAskFills;
SimBroker.GotOrderCancel += new OrderCancelDelegate(broker_GotOrderCancel);
try
{
updatetitle();
status("Loaded tickdata: " + PrettyEPF());
return true;
}
catch (IOException ex)
{
if (ex.Message.Contains("used by another process"))
{
status("Simulation file still in use.");
debug("Try again, one of following in use: " + string.Join(",",epffiles.ToArray()));
}
return false;
}
}
void unbindsim(ref HistSim h)
{
h.GotTick -= new TickDelegate(_h_GotTick);
}
void bindsim(ref HistSim h)
{
h.GotDebug += new DebugDelegate(h_GotDebug);
h.GotTick += new TickDelegate(h_GotTick);
}
private void playbut_Click(object sender, EventArgs e)
{
status("preparing simulation");
if (_playback.IsBusy)
{
status("simulation already in progress");
return;
}
// setup simulation (portfolio realistic)
h = new MultiSimImpl(tickfolder,FileFilter);
// bind events
h.GotTick += new TickDelegate(h_GotTick);
h.GotDebug += new DebugDelegate(_dw.GotDebug);
// setup playback
_playback = new Playback(h);
_playback.RunWorkerCompleted += new RunWorkerCompletedEventHandler(_playback_RunWorkerCompleted);
_playback.ProgressChanged += new ProgressChangedEventHandler(_playback_ProgressChanged);
// clear highs and lows
highs = new Dictionary<string, decimal>();
lows = new Dictionary<string, decimal>();
// start playback
var delayscale = (int)((double)trackBar1.Value / 5);
_playback.RunWorkerAsync(new PlayBackArgs(delayscale));
// notify user
status("Playback started...");
// update user interface options
playbut.Enabled = false;
stopbut.Enabled = true;
trackBar1.Enabled = false;
}
public GauntletEngine(TradeLink.API.Response r, TickFileFilter inittff)
{
responseengine = r;
responseengine.SendOrderEvent += new OrderSourceDelegate(_r_SendOrder);
responseengine.SendCancelEvent += new LongSourceDelegate(_r_SendCancel);
responseengine.SendDebugEvent += new DebugDelegate(_r_SendDebugEvent);
tff = inittff;
myhistsim = new MultiSimImpl(tff);
myhistsim.GotTick += new TickDelegate(_h_GotTick);
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
SimBroker.GotOrder += new OrderDelegate(responseengine.GotOrder);
SimBroker.GotFill += new FillDelegate(responseengine.GotFill);
}
void unbindsim(ref HistSim h)
{
h.GotTick -= new TickDelegate(_h_GotTick);
}
// runs the simulation in background
void bw_DoWork(object sender, DoWorkEventArgs e)
{
// get simulation arguments
GauntArgs ga = (GauntArgs)e.Argument;
// notify user
debug("Run started: " + ga.Name);
// prepare simulator
h = new HistSim(ga.Folder,ga.Filter);
h.GotDebug += new DebugDelegate(h_GotDebug);
h.GotTick += new TickDelegate(h_GotTick);
// start simulation
h.PlayTo(ga.PlayTo);
// end simulation
ga.Stopped = DateTime.Now;
ga.TicksProcessed = h.TicksProcessed;
ga.Executions = h.FillCount;
// save result
e.Result = ga;
}
public Playback(HistSim simulator)
{
h = simulator;
WorkerSupportsCancellation = true;
WorkerReportsProgress = true;
}
// runs the simulation in background
void bw_DoWork(object sender, DoWorkEventArgs e)
{
FillCount = 0;
// get simulation arguments
GauntArgs ga = (GauntArgs)e.Argument;
// notify user
debug("Run started: " + ga.Name);
status("Started: " + ga.ResponseName);
// prepare simulator
bool portreal = _portfoliosim.Checked;
if (_portfoliosim.Checked)
{
debug("Using portfolio simulation. (realistic)");
h = new MultiSimImpl(ga.Folder, ga.Filter);
}
else
{
debug("Using sequential symbol simulation. (faster)");
h = new SingleSimImpl(ga.Folder, ga.Filter);
}
h.GotDebug += new DebugDelegate(h_GotDebug);
SimBroker.UseBidAskFills = _usebidask.Checked;
h.GotTick += new TickDelegate(h_GotTick);
SimBroker.GotFill += new FillDelegate(SimBroker_GotFill);
SimBroker.GotOrder+=new OrderDelegate(args.Response.GotOrder);
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
// start simulation
h.PlayTo(ga.PlayTo);
// end simulation
ga.Stopped = DateTime.Now;
ga.TicksProcessed = h.TicksProcessed;
ga.Executions = FillCount;
// save result
e.Result = ga;
}
/// <summary>
/// returns true if sim event binding is needed
/// </summary>
/// <param name="sim"></param>
/// <param name="ga"></param>
bool prepsim_needsbind(ref HistSim sim, GauntArgs ga)
{
// see if filter or folder has changed
string thistff = TickFileFilter.Serialize(ga.Filter)+ga.Folder;
bool fullreset = lasttff != thistff;
if ((sim==null) || fullreset)
{
if (_portfoliosim.Checked)
{
if (_siminmemory.Checked)
{
sim = new HistSimMemory(ga.Folder, ga.Filter);
}
else
{
debug("Using portfolio simulation. (realistic)");
sim = new MultiSimImpl(ga.Folder, ga.Filter);
}
}
else
{
debug("Using sequential symbol simulation. (faster)");
sim = new SingleSimImpl(ga.Folder, ga.Filter);
}
lasttff = thistff;
return true;
}
else
{
sim.Reset();
}
return false;
}
