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Added function CopyRates. Implemented Backtesting

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This commit is contained in:
DW
2016-07-25 16:49:15 +03:00
parent edc14d6c97
commit e312f52b74
14 changed files with 485 additions and 75 deletions
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MtApi/ExtensionMethods.cs
-38
View File
@@ -8,44 +8,6 @@ namespace MtApi
{
static class ExtensionMethods
{
#region Event Methods
public static async void FireEvent(this MtApiQuoteHandler evenHandler, object sender, string symbol, double bid, double ask)
{
if (evenHandler != null)
{
await Task.Factory.StartNew(() =>
{
evenHandler(sender, symbol, bid, ask);
});
}
}
public static async void FireEvent(this EventHandler eventHandler, object sender)
{
if (eventHandler != null)
{
await Task.Factory.StartNew(() =>
{
eventHandler(sender, EventArgs.Empty);
});
}
}
public static async void FireEvent<T>(this EventHandler<T> eventHandler, object sender, T e)
where T : EventArgs
{
if (eventHandler != null)
{
await Task.Factory.StartNew(() =>
{
eventHandler(sender, e);
});
}
}
#endregion
public static MtQuote Parse(this MTApiService.MtQuote quote)
{
return (quote != null) ? new MtQuote(quote.Instrument, quote.Bid, quote.Ask) : null;
MtApi/MqlRates.cs
+22
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@@ -0,0 +1,22 @@
using System;
namespace MtApi
{
public class MqlRates
{
public int MtTime { get; set; }
public DateTime Time
{
get { return MtApiTimeConverter.ConvertFromMtTime(MtTime); }
}
public double Open { get; set; }
public double High { get; set; }
public double Low { get; set; }
public double Close { get; set; }
public long TickVolume { get; set; }
public int Spread { get; set; }
public long RealVolume { get; set; }
}
}
MtApi/MtApi.csproj
+3
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@@ -60,6 +60,7 @@
<ItemGroup>
<Compile Include="ChartPeriod.cs" />
<Compile Include="ExtensionMethods.cs" />
<Compile Include="MqlRates.cs" />
<Compile Include="MtConnectionEventArgs.cs" />
<Compile Include="MtConnectionException.cs" />
<Compile Include="MtConnectionState.cs" />
@@ -76,6 +77,7 @@
<Compile Include="MtApiColorConverter.cs" />
<Compile Include="OrderSelectMode.cs" />
<Compile Include="OrderSelectSource.cs" />
<Compile Include="Requests\CopyRatesRequest.cs" />
<Compile Include="Requests\GetOrderRequest.cs" />
<Compile Include="Requests\GetOrdersRequest.cs" />
<Compile Include="Requests\ICustomRequest.cs" />
@@ -86,6 +88,7 @@
<Compile Include="Requests\OrderSendRequest.cs" />
<Compile Include="Requests\RequestBase.cs" />
<Compile Include="Requests\RequestType.cs" />
<Compile Include="Responses\CopyRatesResponse.cs" />
<Compile Include="Responses\GetOrderResponse.cs" />
<Compile Include="Responses\GetOrdersResponse.cs" />
<Compile Include="Responses\ICustomResponse.cs" />
MtApi/MtApiClient.cs
+68 -8
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@@ -16,6 +16,7 @@ namespace MtApi
public sealed class MtApiClient
{
private const int DoubleArrayLimit = 64800;
private volatile bool IsBacktestingMode = false;
#region MetaTrader Constants
@@ -1365,6 +1366,47 @@ namespace MtApi
return SendCommand<bool>(MtCommandType.RefreshRates, null);
}
public List<MqlRates> CopyRates(string symbol_name, ENUM_TIMEFRAMES timeframe, int start_pos, int count)
{
var response = SendRequest<CopyRatesResponse>(new CopyRates1Request
{
SymbolName = symbol_name,
Timeframe = timeframe,
StartPos = start_pos,
Count = count
});
return response != null ? response.Rates : null;
}
public List<MqlRates> CopyRates(string symbol_name, ENUM_TIMEFRAMES timeframe, DateTime start_time, int count)
{
var response = SendRequest<CopyRatesResponse>(new CopyRates2Request
{
SymbolName = symbol_name,
Timeframe = timeframe,
StartTime = MtApiTimeConverter.ConvertToMtTime(start_time),
Count = count
});
return response != null ? response.Rates : null;
}
public List<MqlRates> CopyRates(string symbol_name, ENUM_TIMEFRAMES timeframe, DateTime start_time, DateTime stop_time)
{
var response = SendRequest<CopyRatesResponse>(new CopyRates3Request
{
SymbolName = symbol_name,
Timeframe = timeframe,
StartTime = MtApiTimeConverter.ConvertToMtTime(start_time),
StopTime = MtApiTimeConverter.ConvertToMtTime(stop_time)
});
return response != null ? response.Rates : null;
}
private void BaBacktestingReady()
{
SendCommand<object>(MtCommandType.BacktestingReady, null);
}
#endregion
#region Checkup
@@ -1385,7 +1427,6 @@ namespace MtApi
private void Connect(string host, int port)
{
UpdateConnectionState(MtConnectionState.Connecting, string.Format("Connecting to {0}:{1}", host, port));
try
{
_client.Open(host, port);
@@ -1396,14 +1437,13 @@ namespace MtApi
UpdateConnectionState(MtConnectionState.Failed, string.Format("Failed connection to {0}:{1}. {2}", host, port, e.Message));
return;
}
UpdateConnectionState(MtConnectionState.Connected, string.Format("Connected to {0}:{1}", host, port));
OnConnected();
}
private void Connect(int port)
{
UpdateConnectionState(MtConnectionState.Connecting, string.Format("Connecting to 'localhost':{0}", port));
try
{
_client.Open(port);
@@ -1414,8 +1454,17 @@ namespace MtApi
UpdateConnectionState(MtConnectionState.Failed, string.Format("Failed connection to 'localhost':{0}. {1}", port, e.Message));
return;
}
UpdateConnectionState(MtConnectionState.Connected, string.Format("Connected to 'localhost':{0}", port));
OnConnected();
}
private void OnConnected()
{
IsBacktestingMode = IsTesting();
if (IsBacktestingMode)
{
BaBacktestingReady();
}
}
private void Disconnect()
@@ -1440,7 +1489,8 @@ namespace MtApi
if (changed)
{
ConnectionStateChanged.FireEvent(this, new MtConnectionEventArgs(state, message));
var handler = ConnectionStateChanged;
handler?.BeginInvoke(this, new MtConnectionEventArgs(state, message), (a) => handler.EndInvoke(a), null);
}
}
@@ -1522,7 +1572,15 @@ namespace MtApi
{
if (quote != null)
{
QuoteUpdated.FireEvent(this, quote.Instrument, quote.Bid, quote.Ask);
var handler = QuoteUpdated;
if (IsBacktestingMode)
{
handler?.Invoke(this, quote.Instrument, quote.Bid, quote.Ask);
}
else
{
handler?.BeginInvoke(this, quote.Instrument, quote.Bid, quote.Ask, (a) => handler.EndInvoke(a), null);
}
}
}
@@ -1538,12 +1596,14 @@ namespace MtApi
private void mClient_QuoteRemoved(MTApiService.MtQuote quote)
{
QuoteRemoved.FireEvent(this, new MtQuoteEventArgs(quote.Parse()));
var handler = QuoteRemoved;
handler?.BeginInvoke(this, new MtQuoteEventArgs(quote.Parse()), (a) => handler.EndInvoke(a), null);
}
private void mClient_QuoteAdded(MTApiService.MtQuote quote)
{
QuoteAdded.FireEvent(this, new MtQuoteEventArgs(quote.Parse()));
var handler = QuoteAdded;
handler?.BeginInvoke(this, new MtQuoteEventArgs(quote.Parse()), (a) => handler.EndInvoke(a), null);
}
#endregion
MtApi/MtCommandType.cs
+4 -1
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@@ -192,6 +192,9 @@ namespace MtApi
SymbolInfoString = 154,
//Requests
MtRequest = 155
MtRequest = 155,
//Backtesting
BacktestingReady = 156
}
}
MtApi/MtTypes.cs
+27 -10
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@@ -1,14 +1,5 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
namespace MtApi
namespace MtApi
{
class MtTypes
{
}
public enum ENUM_TERMINAL_INFO_STRING
{
TERMINAL_LANGUAGE = 13,
@@ -27,4 +18,30 @@ namespace MtApi
SYMBOL_DESCRIPTION = 20,
SYMBOL_PATH = 21
}
public enum ENUM_TIMEFRAMES
{
PERIOD_CURRENT = 0,
PERIOD_M1 = 1,
PERIOD_M2 = 2,
PERIOD_M3 = 3,
PERIOD_M4 = 4,
PERIOD_M5 = 5,
PERIOD_M6 = 6,
PERIOD_M10 = 10,
PERIOD_M12 = 12,
PERIOD_M15 = 15,
PERIOD_M20 = 20,
PERIOD_M30 = 30,
PERIOD_H1 = 60,
PERIOD_H2 = 120,
PERIOD_H3 = 180,
PERIOD_H4 = 240,
PERIOD_H6 = 360,
PERIOD_H8 = 480,
PERIOD_H12 = 720,
PERIOD_D1 = 1440,
PERIOD_W1 = 10080,
PERIOD_MN1 = 43200
}
}
MtApi/Requests/CopyRatesRequest.cs
+61
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@@ -0,0 +1,61 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace MtApi.Requests
{
public abstract class CopyRatesRequestBase : RequestBase
{
public enum CopyRatesTypeEnum
{
CopyRates_1 = 1,
CopyRates_2 = 2,
CopyRates_3 = 3,
}
public override RequestType RequestType
{
get { return RequestType.CopyRates; }
}
public abstract CopyRatesTypeEnum CopyRatesType { get; }
public string SymbolName { get; set; }
public ENUM_TIMEFRAMES Timeframe { get; set; }
}
public class CopyRates1Request : CopyRatesRequestBase
{
public override CopyRatesTypeEnum CopyRatesType
{
get { return CopyRatesTypeEnum.CopyRates_1; }
}
public int StartPos { get; set; }
public int Count { get; set; }
}
public class CopyRates2Request : CopyRatesRequestBase
{
public override CopyRatesTypeEnum CopyRatesType
{
get { return CopyRatesTypeEnum.CopyRates_2; }
}
public int StartTime { get; set; }
public int Count { get; set; }
}
public class CopyRates3Request : CopyRatesRequestBase
{
public override CopyRatesTypeEnum CopyRatesType
{
get { return CopyRatesTypeEnum.CopyRates_3; }
}
public int StartTime { get; set; }
public int StopTime { get; set; }
}
}
MtApi/Requests/RequestType.cs
+2 -1
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@@ -10,6 +10,7 @@
OrderCloseBy = 5,
OrderDelete = 6,
OrderModify = 7,
iCustom = 8
iCustom = 8,
CopyRates = 9
}
}
MtApi/Responses/CopyRatesResponse.cs
+9
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@@ -0,0 +1,9 @@
using System.Collections.Generic;
namespace MtApi.Responses
{
public class CopyRatesResponse: ResponseBase
{
public List<MqlRates> Rates { get; set; }
}
}