Инициализация стратегии в тестировании на истории

System.AggregateException: One or more errors occurred. ---> System.InvalidOperationException: Operation is not valid due to the current state of the object.
   at StockSharp.Algo.BaseTrader.ProcessEvents(Action handler)
   at AlgoTrading.HistoryTesting.Optimizer.<>c__DisplayClassb.<Optimize>b__5(ParamsDto period) in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 83
   at System.Threading.Tasks.Parallel.<>c__DisplayClassf`1.<ForWorker>b__c()
   at System.Threading.Tasks.Task.InnerInvokeWithArg(Task childTask)
   at System.Threading.Tasks.Task.<>c__DisplayClass10.<ExecuteSelfReplicating>b__f(Object param0)
   --- End of inner exception stack trace ---
   at System.Threading.Tasks.Task.Wait(Int32 millisecondsTimeout, CancellationToken cancellationToken)
   at System.Threading.Tasks.Task.Wait()
   at System.Threading.Tasks.Parallel.ForWorker[TLocal](Int32 fromInclusive, Int32 toExclusive, ParallelOptions parallelOptions, Action`1 body, Action`2 bodyWithState, Func`4 bodyWithLocal, Func`1 localInit, Action`1 localFinally)
   at System.Threading.Tasks.Parallel.ForEachWorker[TSource,TLocal](IEnumerable`1 source, ParallelOptions parallelOptions, Action`1 body, Action`2 bodyWithState, Action`3 bodyWithStateAndIndex, Func`4 bodyWithStateAndLocal, Func`5 bodyWithEverything, Func`1 localInit, Action`1 localFinally)
   at System.Threading.Tasks.Parallel.ForEach[TSource](IEnumerable`1 source, ParallelOptions parallelOptions, Action`1 body)
   at AlgoTrading.HistoryTesting.Optimizer.Optimize() in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 129
   at AlgoTrading.HistoryTesting.Program.Main() in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Program.cs:line 29
---> (Inner Exception #0) System.InvalidOperationException: Operation is not valid due to the current state of the object.
   at StockSharp.Algo.BaseTrader.ProcessEvents(Action handler)
   at AlgoTrading.HistoryTesting.Optimizer.<>c__DisplayClassb.<Optimize>b__5(ParamsDto period) in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 83
   at System.Threading.Tasks.Parallel.<>c__DisplayClassf`1.<ForWorker>b__c()
   at System.Threading.Tasks.Task.InnerInvokeWithArg(Task childTask)
   at System.Threading.Tasks.Task.<>c__DisplayClass10.<ExecuteSelfReplicating>b__f(Object param0)<---

---> (Inner Exception #1) System.InvalidOperationException: Operation is not valid due to the current state of the object.
   at StockSharp.Algo.BaseTrader.ProcessEvents(Action handler)
   at AlgoTrading.HistoryTesting.Optimizer.<>c__DisplayClassb.<Optimize>b__5(ParamsDto period) in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 83
   at System.Threading.Tasks.Parallel.<>c__DisplayClassf`1.<ForWorker>b__c()
   at System.Threading.Tasks.Task.InnerInvokeWithArg(Task childTask)
   at System.Threading.Tasks.Task.<>c__DisplayClass10.<ExecuteSelfReplicating>b__f(Object param0)<---

---> (Inner Exception #2) System.InvalidOperationException: Operation is not valid due to the current state of the object.
   at StockSharp.Algo.BaseTrader.ProcessEvents(Action handler)
   at AlgoTrading.HistoryTesting.Optimizer.<>c__DisplayClassb.<Optimize>b__5(ParamsDto period) in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 83
   at System.Threading.Tasks.Parallel.<>c__DisplayClassf`1.<ForWorker>b__c()
   at System.Threading.Tasks.Task.InnerInvokeWithArg(Task childTask)
   at System.Threading.Tasks.Task.<>c__DisplayClass10.<ExecuteSelfReplicating>b__f(Object param0)<---

---> (Inner Exception #3) System.InvalidOperationException: Operation is not valid due to the current state of the object.
   at StockSharp.Algo.BaseTrader.ProcessEvents(Action handler)
   at AlgoTrading.HistoryTesting.Optimizer.<>c__DisplayClassb.<Optimize>b__5(ParamsDto period) in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 83
   at System.Threading.Tasks.Parallel.<>c__DisplayClassf`1.<ForWorker>b__c()
   at System.Threading.Tasks.Task.InnerInvokeWithArg(Task childTask)
   at System.Threading.Tasks.Task.<>c__DisplayClass10.<ExecuteSelfReplicating>b__f(Object param0)<---

---> (Inner Exception #4) System.InvalidOperationException: Operation is not valid due to the current state of the object.
   at StockSharp.Algo.BaseTrader.ProcessEvents(Action handler)
   at AlgoTrading.HistoryTesting.Optimizer.<>c__DisplayClassb.<Optimize>b__5(ParamsDto period) in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 83
   at System.Threading.Tasks.Parallel.<>c__DisplayClassf`1.<ForWorker>b__c()
   at System.Threading.Tasks.Task.InnerInvokeWithArg(Task childTask)
   at System.Threading.Tasks.Task.<>c__DisplayClass10.<ExecuteSelfReplicating>b__f(Object param0)<---

---> (Inner Exception #5) System.InvalidOperationException: Operation is not valid due to the current state of the object.
   at StockSharp.Algo.BaseTrader.ProcessEvents(Action handler)
   at AlgoTrading.HistoryTesting.Optimizer.<>c__DisplayClassb.<Optimize>b__5(ParamsDto period) in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 83
   at System.Threading.Tasks.Parallel.<>c__DisplayClassf`1.<ForWorker>b__c()
   at System.Threading.Tasks.Task.InnerInvokeWithArg(Task childTask)
   at System.Threading.Tasks.Task.<>c__DisplayClass10.<ExecuteSelfReplicating>b__f(Object param0)<---

---> (Inner Exception #6) System.InvalidOperationException: Operation is not valid due to the current state of the object.
   at StockSharp.Algo.BaseTrader.ProcessEvents(Action handler)
   at AlgoTrading.HistoryTesting.Optimizer.<>c__DisplayClassb.<Optimize>b__5(ParamsDto period) in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 83
   at System.Threading.Tasks.Parallel.<>c__DisplayClassf`1.<ForWorker>b__c()
   at System.Threading.Tasks.Task.InnerInvokeWithArg(Task childTask)
   at System.Threading.Tasks.Task.<>c__DisplayClass10.<ExecuteSelfReplicating>b__f(Object param0)<---

---> (Inner Exception #7) System.InvalidOperationException: Operation is not valid due to the current state of the object.
   at StockSharp.Algo.BaseTrader.ProcessEvents(Action handler)
   at AlgoTrading.HistoryTesting.Optimizer.<>c__DisplayClassb.<Optimize>b__5(ParamsDto period) in c:\ActiveProjects\AlgoTrading3\trunk\SourceCode\HistoryTesting\Optimizer.cs:line 83
   at System.Threading.Tasks.Parallel.<>c__DisplayClassf`1.<ForWorker>b__c()
   at System.Threading.Tasks.Task.InnerInvokeWithArg(Task childTask)
   at System.Threading.Tasks.Task.<>c__DisplayClass10.<ExecuteSelfReplicating>b__f(Object param0)<---

    public class Optimizer
    {
        private IStorageRegistry _storageRegistry;
        private LocalMarketDataDrive _defaultDrive;

        public void Optimize()
        {
            var startTime = new DateTime(2012, 9, 10);
            var stopTime = new DateTime(2012, 11, 8);
            _storageRegistry = new StorageRegistry();
            _defaultDrive = (LocalMarketDataDrive)_storageRegistry.DefaultDrive;
            _defaultDrive.Path = @"D:\DBs\HydraData\Smart";
            var security = Securities.Instance.RtsF;
            var periods = MyStrategy.GetParamCombinations();

            Parallel.ForEach(periods, new ParallelOptions { MaxDegreeOfParallelism = 8 }, period =>
                {
                    using (var waitHandle = new AutoResetEvent(false))
                    {
                        var rts = security.Clone();
                        var portfolio = new Portfolio { Name = "test account", BeginValue = 100000m };
                        var trader = new EmulationTrader(
                            new[] { rts },
                            new[] { portfolio },
                            _storageRegistry)
                            {
                                UseMarketDepth = true,
                                StorageRegistry = _storageRegistry,
                            };

                        trader.MarketEmulator.Settings.Latency = TimeSpan.FromSeconds(1);
                        trader.RegisterMarketDepth(rts);
                        trader.Connect();
                        trader.StartExport();
                        var strategy = new MyStrategy(period)
                        {
                            Volume = 1,
                            Security = rts,
                            Portfolio = portfolio,
                            Trader = trader,
                            CommissionManager = rts.GetComissionManager(),
                        };

                        trader.StateChanged += (oldState, newState) =>
                            {
                                if (trader.State == EmulationStates.Started)
                                    strategy.Start();
                                else if (trader.State == EmulationStates.Stopped)
                                {
                                    new ExcelStrategyReport(strategy, path).Generate();
                                    waitHandle.Set();
                                }
                            };

                        trader.Start(startTime, stopTime);
                        waitHandle.WaitOne();
                    }
                });
        }
    }

    public sealed class MyStrategy : AbstractStrategy
    {
        private bool _canProcess = true;
        private readonly object _locker = new object();
        public CsvLogManager CsvLogManager { get; set; }
        
        protected override void OnStarted()
        {
            Security
                .WhenMarketDepthChanged()
                .Do(ProcessDepth)
                .Sync(_locker)
                .Apply(this);

            this.WhenNewMyTrades()
                .Do(myTrades =>
                    {
                        foreach (var myTrade in myTrades)
                        {
                            CsvLogManager.WriteLine(new MyTradeLogItem()
                            {
                                Now = DateTime.Now,
                                CurrentTime = CurrentTime,
                                TradeId = myTrade.Trade.Id,
                                TransactionId = myTrade.Order.TransactionId,
                                Time = myTrade.Trade.Time,
                                TradePrice = myTrade.Trade.Price,
                                OrderPrice = myTrade.Order.Price,
                                TradeVolume = myTrade.Trade.Volume,
                                Direction = myTrade.Order.Direction,
                                OrderId = myTrade.Order.Id,
                                Slippage = myTrade.GetSlippage(true),
                                SlippageQuoting = SlippageManager.GetSlippage(myTrade),
                                Comment = comment,
                            });

                            CsvLogManager.WriteLine(new MyTradeWmsLogItem()
                            {
                                Time = myTrade.Trade.Time,
                                SecurityCode = Security.Id == Securities.Instance.RtsF.Id ? "RTS" : Security.Code,
                                Direction = myTrade.Order.Direction,
                                Price = myTrade.Trade.Price,
                                Volume = myTrade.Trade.Volume,
                                Comission = myTrade.Trade.Volume * 2,
                            });
                        } 
                    })
                .Apply(this);

            base.OnStarted();
        }

        protected override void OnStopped()
        {
            base.OnStopped();
            CsvLogManager.Dispose();
        }

        private void ProcessDepth(MarketDepth depth)
        {
            if (!Security.Exchange.IsTradeTime(depth.LastChangeTime))
                return;

            if (CsvLogManager.MarketDepthLogEnabled)
                CsvLogManager.WriteLine(new MarketDepthLogItem()
                    {
                        Now = DateTime.Now,
                        CurrentTime = CurrentTime,
                        MarketDepthTime = depth.LastChangeTime,
                        Ratio = ratio,
                        CanProcess = Convert.ToInt32(_canProcess),
                        CurrentPrice = price,
                        BestAsk = depth.BestAsk == null ? 0 : depth.BestAsk.Price,
                        BestBid = depth.BestBid == null ? 0 : depth.BestBid.Price,
                        PnL = PnL,
                        PortfolioBeginValue = Portfolio.BeginValue,
                        PortfolioCurrentValue = Portfolio.CurrentValue,
                        PortfolioVariationMargin = Portfolio.VariationMargin,
                        PortfolioComission = Portfolio.Commission,
                        PortfolioGetPrice = Portfolio.GetPrice(),
                    });

            if (!_canProcess)
                return;

            var closePosition = ShouldClose();
            var openPosition = ShouldOpen();;

            if (closePosition || openPosition)
            {
                _canProcess = false;
                var volume = 0m;

                if (closePosition)
                    volume += Math.Abs(Position);
                
                if (openPosition)
                   volume += Volume;

                var strategy = new MyQuotingStrategy(orderDirection,
                                                     new Unit(price, UnitTypes.Absolute, Security),
                                                     new Unit(1, UnitTypes.Step, Security),
                                                     comment) { Volume = volume };
                strategy
                    .WhenStopped()
                    .Do(() =>
                    {
                        _canProcess = true;
                    })
                    .Once()
                    .Sync(_locker)
                    .Apply(this);

                ChildStrategies.Add(strategy);
            }
        }
    }