public Trade[] GetTradeSet(string description, TradeSet set = TradeSet.All)
{
TestSet testSet = testSets.Where(x => x.Description == description).FirstOrDefault();
if (testSet == null)
{
return(null);
}
//can split these into trades from train and test set if TradeSet parameter is passed
if (set == TradeSet.All)
{
return(testSet.Trades);
}
else if (set == TradeSet.Test)
{
return(testSet.Trades.Where(x => x.OpenTime > EndTrainDate).ToArray());
}
else if (set == TradeSet.Train)
{
return(testSet.Trades.Where(x => x.CloseTime <= EndTrainDate).ToArray());
}
return(null);
}
public void Remove(string description)
{
TestSet ts = testSets.Where(x => x.Description == description).FirstOrDefault();
if (ts != null)
{
testSets.Remove(ts);
}
}
public void OnCompleteTest(TestSet testSet)
{
TestSummary.Add(testSet);
int completed = TestSummary.TestSets.Length;
MessageDelegate?.Invoke("Completed " + completed + " of " + tasksRequired, MessageType.Update);
//All optimisations have been done
if (completed == tasksRequired)
{
MessageDelegate?.Invoke("\nComplete backtest took: " + (DateTime.Now - start).TotalMinutes.ToString("0.00") + " minutes");
OnComplete.Invoke(TestSummary);
}
}
public void Test(Queue <BackTestTask> tasks, OnTestComplete onComplete)
{
while (tasks.Count > 0)
{
BackTestTask task = tasks.Dequeue();
Strategy strategy = task.Strategy;
Asset asset = task.Asset;
//Record start time of process for time taken message
DateTime now = DateTime.Now;
byte[] bytes = asset.Dataset;
//add in the required minute bars with a 1 bar lookback
//If a strategy needs these bars it will be overwritted in the next foreach loop
strategy.InitBarData();
//keep a pointer of the last added bar and date so this can be modified while building up the higher timeframes
Dictionary <int, Bar> lastAddedBars = new Dictionary <int, Bar>();
Dictionary <int, DateTime> lastAddedDates = new Dictionary <int, DateTime>();
//Traverse the byte array to build the bars - this can be done on separate threads for each asset for maximum speed
int i = 0;
Bar bar = null;
while (i < bytes.Length)
{
bar = DataBuilder.ReadBinaryBar(bytes, (i / 44));
//move to next line in byte array - 1 bar is 44 bytes
i += 44;
//skip edge of market bars like Zorro does
/*
* if ((bar.OpenTime.DayOfWeek == DayOfWeek.Friday && bar.OpenTime.Hour > 18) ||
* (bar.OpenTime.DayOfWeek == DayOfWeek.Sunday && bar.OpenTime.Hour < 22))
* continue;
*/
//go through each timeframe and either create a new bar or increment the current bar
foreach (KeyValuePair <int, Bar[]> barSet in strategy.Datasets)
{
///////////////////////////////////////////////////////////////////////////////////
/////This marked section takes about half the processing time
///////////////////////////////
//create a bardate pegged to the nearest timeframe
DateTime barDate;
if (barSet.Key == 1)
{
barDate = bar.OpenTime;
}
else
{
//Peg the bar to the start of the timeframe
TimeSpan d = TimeSpan.FromMinutes(barSet.Key);
barDate = (new DateTime((bar.OpenTime.Ticks + d.Ticks) / d.Ticks * d.Ticks, bar.OpenTime.Kind)).AddMinutes(-barSet.Key);
}
//Keep a record of the last added bars date or set it to the current bar date on the first run
DateTime lastAddedDate;
if (lastAddedDates.ContainsKey(barSet.Key))
{
lastAddedDate = lastAddedDates[barSet.Key];
}
else
{
lastAddedDate = barDate;
}
DateTime nextBar = ((DateTime)lastAddedDate).AddMinutes(barSet.Key);
/////////////////////////////////////////////////////////////
/////////////
///////////////////////////////////////////////////////////////
//add the bar to all timeframes if it doesnt exist
if ((nextBar <= barDate) || !lastAddedDates.ContainsKey(barSet.Key))
{
//need a new bar for each time frame so we don't have the same pointer in each timeframe
Bar setBar = new Bar(bar);
//shift the bar array
Array.Copy(barSet.Value, 0, barSet.Value, 1, barSet.Value.Length - 1);
barSet.Value[0] = setBar;
lastAddedBars[barSet.Key] = setBar;
lastAddedDates[barSet.Key] = barDate;
//Update the Trades
if (barSet.Key == 1)
{
strategy.UpdateTrades(strategy.Datasets[1][1]);
}
//run the strategy (only if this timeframe was in the required data
//eg. minute data is always used but strategy may not request it and therefore won't run code on that timeframe
if (strategy.RequiredData.ContainsKey(barSet.Key))
{
if (TestSummary.StartDate == null)
{
TestSummary.StartDate = bar.OpenTime;
}
//run the bar
strategy.Run(barSet.Key, asset.Name);
}
strategy.BarIndices[barSet.Key]++;
}
//don't need to increment bars on the 1 minute time frame
else if (barSet.Key > 1)
{
//get the lastAdded bar which is the start of this timeframe
Bar lastAdded = lastAddedBars[barSet.Key];
//We adjust the bar for the max,min,vol and close
if (bar.BidHigh > lastAdded.BidHigh)
{
lastAdded.BidHigh = bar.BidHigh;
}
if (bar.BidLow < lastAdded.BidLow)
{
lastAdded.BidLow = bar.BidLow;
}
if (bar.AskHigh > lastAdded.AskHigh)
{
lastAdded.AskHigh = bar.AskHigh;
}
if (bar.AskLow < lastAdded.AskLow)
{
lastAdded.AskLow = bar.AskLow;
}
lastAdded.BidClose = bar.BidClose;
lastAdded.AskClose = bar.AskClose;
lastAdded.Volume += bar.Volume;
}
}
}
if (TestSummary.EndDate == null)
{
TestSummary.EndDate = bar.OpenTime;
}
if (strategy.CloseOnExit)
{
strategy.BTCloseAllTrades(bar);
}
//create a performance report and add it to the list
TestSet ts = new TestSet(asset.Name, strategy.Description, strategy.ClosedTrades);
//clear the data ready for the nxt asset
strategy.ResetData();
onComplete.Invoke(ts);
}
}
public void Remove(TestSet set)
{
testSets.Remove(set);
}
public void Add(TestSet set)
{
testSets.Add(set);
}