Инициализация стратегии в тестировании на истории. StockSharp

Инициализация стратегии в тестировании на истории

11/9/2012

vk37

Я бы инициализацию стратегии перенес сюда. А то ошибка происходит, про состояние объекта что-то.

Code

_trader.StateChanged += (oldState, newState) =>
{
	if (_trader.State == EmulationStates.Stopped)
	{
		this.GuiAsync(() =>
		{
			StartBtn.IsEnabled = true;

			if (_trader.IsFinished)
			{
				TestingProcess.Value = TestingProcess.Maximum;
				MessageBox.Show(this, "Закончено за " + (DateTime.Now - _startEmulationTime));
			}
			else
				MessageBox.Show(this, "Отменено");
		});
	}
	else if (_trader.State == EmulationStates.Started)
	{
        //!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
        // создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
        _strategy = new SmaStrategy(series, new SimpleMovingAverage { Length = 80 }, new SimpleMovingAverage { Length = 10 })
        {
            Volume = 1,
            Portfolio = portfolio,
            Security = security,
            Trader = _trader
        };
        //!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
		// запускаем стратегию когда эмулятор запустился
		_strategy.Start();
	}
};

Tags:

тестирование

Thanks:

pyhta4og

Date: 11/9/2012

vk37

Я бы инициализацию стратегии перенес сюда. А то ошибка происходит, про состояние объекта что-то.

Code

_trader.StateChanged += (oldState, newState) =>
{
	if (_trader.State == EmulationStates.Stopped)
	{
		this.GuiAsync(() =>
		{
			StartBtn.IsEnabled = true;

			if (_trader.IsFinished)
			{
				TestingProcess.Value = TestingProcess.Maximum;
				MessageBox.Show(this, "Закончено за " + (DateTime.Now - _startEmulationTime));
			}
			else
				MessageBox.Show(this, "Отменено");
		});
	}
	else if (_trader.State == EmulationStates.Started)
	{
        //!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
        // создаем торговую стратегию, скользящие средние на 80 5-минуток и 10 5-минуток
        _strategy = new SmaStrategy(series, new SimpleMovingAverage { Length = 80 }, new SimpleMovingAverage { Length = 10 })
        {
            Volume = 1,
            Portfolio = portfolio,
            Security = security,
            Trader = _trader
        };
        //!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!
		// запускаем стратегию когда эмулятор запустился
		_strategy.Start();
	}
};

тогда у вас стратегия не факт что запустится с начала данных - эмулятор уедет вперед

Thanks:

vk37

Date: 11/10/2012

Ошибка, в общем, возникает при инициализации старетгии. Вне зависимости в каком месте ее инициализировать. Возникает не при каждом запуске. Одна и та же сборка иногда нормально сработает, а иногда с ошибкой. Может кто сталкивался?

Code

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)<---

Thanks:

pyhta4og

Date: 11/12/2012

судя по колстаку у вас Parallel.For или что-то в этом духе. Там точно нет ситуации что EmulationTrader дергается из двух разных потоков? Он вполне может быть не потокобезопасным.

если вам надо сделать оптимизацию гораздо быстрее будет сделать кучу экземпляров стратегии с разными параметрами и всю кучу прогнать в одном эмуляйшн-трейдере.

Thanks:

vk37

Date: 11/12/2012

В упрощенном виде код оптимизации такой:

Code

    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();
                    }
                });
        }
    }

Вроде EmulationTrader на правильном месте. Не знаю как правильно )

Thanks:

Mikhail Sukhov

Date: 11/12/2012

Quote:

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

По стек трейсу видно, что напрямую вызывается BaseTrader.ProcessEvents. Зачем?

Thanks:

vk37

Date: 11/13/2012

Mikhail Sukhov

Quote:

По стек трейсу видно, что напрямую вызывается BaseTrader.ProcessEvents. Зачем?

Даже не знаю что это такое. Строка 83 - инициализация стратегии.
Упрощенный код моей стратегии:

Code

    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);
            }
        }
    }

Может неявно как-то вызывается. Могу выслать код стратегии котирования. Для ревью )

Thanks:

Mikhail Sukhov

Date: 11/13/2012

vk37

Может неявно как-то вызывается. Могу выслать код стратегии котирования. Для ревью )

Если только Михаил заинтересуется[biggrin] Мне и своего кода для ревьирования хватает, спасибо. Надо поднтянуть матчасть связанную с отладкой ошибок. Дебаггер, рефлектор.

Thanks:

vk37

Date: 11/13/2012

Mikhail Sukhov

Дебаггер, рефлектор.

деобфускатор? )

Thanks:

Mikhail Sukhov

Date: 11/13/2012

vk37

Mikhail Sukhov

Дебаггер, рефлектор.

деобфускатор? )

Да я про ваш код имел ввиду. Хотя конечно я бы начал с основ - что такое исключение и что такое стектрейс. Но я так понял вы не из тех, кто любит на всякие разности отвлекаться.[rolleyes]

Thanks:

komaranton

Date: 9/8/2019

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