Кодusing System;
using System.Linq;
using System.Windows;
using Ecng.Common;
using StockSharp.Algo;
using StockSharp.Algo.Candles;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;
using StockSharp.Xaml.Charting;
using System.Collections.Generic;
using MoreLinq;
using StockSharp.Algo.Storages;
using StockSharp.Algo.Testing;
namespace test
{
/// <summary>
/// Логика взаимодействия для MainWindow.xaml
/// </summary>
public partial class MainWindow : Window
{
private HistoryEmulationConnector _historyEmulationConnector;
private StorageRegistry _storageRegistry;
public List<Security> Securities;
private Str Str;
public MainWindow()
{
InitializeComponent();
Securities=new List<Security>();
Str = new Str(Chart);
}
private void ButtonBase_OnClick(object sender, RoutedEventArgs e)
{
_storageRegistry = new StorageRegistry { DefaultDrive = new LocalMarketDataDrive(@"...") };//todo Установить путь к истории
_storageRegistry.DefaultDrive.AvailableSecurities.ForEach(sId =>
{
Securities.Add(new Security()
{
Id = sId.SecurityCode + "@" + sId.BoardCode,
Code = sId.SecurityCode,
Type = sId.SecurityType,
Board = ExchangeBoard.Micex,
PriceStep = 0.01m
});
});
var portfolio = new Portfolio { Name = "test account", BeginValue = 1000000 };
_historyEmulationConnector = new HistoryEmulationConnector(Securities, new[] { portfolio })
{
HistoryMessageAdapter =
{
StorageRegistry = _storageRegistry,
StartDate = new DateTime(2018, 1, 1, 0, 0, 0),
StopDate = new DateTime(2019, 9, 20, 0, 0, 0),
},
};
Str.Security = Securities[0];//todo Установить инструмент из истории
Str.Portfolio = portfolio;
Str.Connector = _historyEmulationConnector;
Str.Volume = 1;
_historyEmulationConnector.Connected += () => { Str.Start(); _historyEmulationConnector.Start(); };
_historyEmulationConnector.Connect();
}
}
class Str : Strategy
{
private SimpleMovingAverage LongSma { get; set; }
private SimpleMovingAverage ShortSma { get; set; }
private CandleSeries CandleSeries { get; set; }
private ChartCandleElement ChartCandleElement { get; set; }
private ChartIndicatorElement LongElement { get; set; }
public ChartIndicatorElement ShortElement { get; set; }
private ChartOrderElement _chartOrderElement;
private ChartTradeElement _chartTradeElement;
private bool _isShortLessPrev;
private Chart Chart { get; set; }
public Str(Chart chart)
{
Chart = chart;
LongSma = new SimpleMovingAverage(){Length = 8};
ShortSma = new SimpleMovingAverage(){Length = 4};
_chartOrderElement = new ChartOrderElement(){Title = "Ордеры"};
_chartTradeElement = new ChartTradeElement(){Title = "Сделки"};
ChartCandleElement = new ChartCandleElement(){Title = "Свечи"};
LongElement = new ChartIndicatorElement(){Title = LongSma.ToString()};
ShortElement = new ChartIndicatorElement(){Title = ShortSma.ToString()};
Chart.Areas.Add(new ChartArea() { Elements = { ChartCandleElement, LongElement, ShortElement, _chartTradeElement, _chartOrderElement } });
NewMyTrade += trade =>
{
var chartDrawData = new ChartDrawData();
var chartDrawDataItem = chartDrawData.Group(trade.Trade.Time);
chartDrawDataItem.Add(_chartTradeElement, trade);
Chart.Draw(chartDrawData);
};
OrderRegistered += order =>
{
var chartDrawData = new ChartDrawData();
var chartDrawDataItem = chartDrawData.Group(order.Time);
chartDrawDataItem.Add(_chartOrderElement, order);
Chart.Draw(chartDrawData);
};
}
protected override void OnStarted()
{
CandleSeries = new CandleSeries(typeof(TimeFrameCandle), Security, TimeSpan.FromMinutes(1));
((Connector) Connector).CandleSeriesProcessing += CandleManager_Processing;
if (!((Connector)Connector).SubscribedCandleSeries.Contains(CandleSeries))
((Connector)Connector).SubscribeCandles(CandleSeries);
base.OnStarted();
}
private void CandleManager_Processing(CandleSeries candleSeries, Candle candle)
{
if (candle.State != CandleStates.Finished) return;
var ls = LongSma.Process(candle);
var ss = ShortSma.Process(candle);
if (LongSma.IsFormed && LongSma.IsFormed)
{
var isShortLessCurrent = ShortSma.GetCurrentValue() < LongSma.GetCurrentValue();
if (isShortLessCurrent != _isShortLessPrev)
{
var order = new Order()
{
Type = OrderTypes.Limit,
Direction = isShortLessCurrent ? Sides.Sell : Sides.Buy,
Price = candle.ClosePrice,
Portfolio = Portfolio,
Volume = Position != 0 ? Volume * 2 : Volume,
Security = Security
};
RegisterOrder(order);
}
_isShortLessPrev = isShortLessCurrent;
}
var chartDrawData = new ChartDrawData();
var chartDrawDataItem = chartDrawData.Group(candle.OpenTime);
chartDrawDataItem.Add(ChartCandleElement, candle);
chartDrawDataItem.Add(ShortElement, ss);
chartDrawDataItem.Add(LongElement, ls);
Chart.Draw(chartDrawData);
}
}
}