Strategy as a function test
This commit is contained in:
Michael Schimmel
+184
-175
@@ -101,16 +101,13 @@ type
|
||||
FApplication: IAuraApplication;
|
||||
FModulesItem: TTreeViewItem;
|
||||
function SelectedSymbol: String;
|
||||
function ExecuteStrategy(
|
||||
const Symbol: String;
|
||||
Timeframe: TTimeframe;
|
||||
const Processor: IMycProcessor<TDataPoint<TOhlcItem>>
|
||||
): TState;
|
||||
procedure ExecuteStrategy(const Symbol: String; Timeframe: TTimeframe; const Processor: IMycProcessor<TDataPoint<TOhlcItem>>);
|
||||
|
||||
public
|
||||
procedure NewWorkspace;
|
||||
function CurrLayout<T: TControl>: T;
|
||||
procedure AlignControl(Control: TControl);
|
||||
function CreateStrategy2(Timeframe: TTimeframe): IMycProcessor<TDataPoint<TOhlcItem>>;
|
||||
published
|
||||
property OnEvent: TNotifyEvent read FOnEvent write FOnEvent;
|
||||
end;
|
||||
@@ -292,172 +289,7 @@ begin
|
||||
Control.Align := TAlignLayout.Top;
|
||||
end;
|
||||
|
||||
function TForm1.CurrLayout<T>: T;
|
||||
begin
|
||||
if TabControl.ActiveTab = nil then
|
||||
exit(nil);
|
||||
|
||||
var Res: T := nil;
|
||||
TabControl.ActiveTab.EnumControls(
|
||||
function(Control: TControl): TEnumControlsResult
|
||||
begin
|
||||
Result := TEnumControlsResult.Continue;
|
||||
if Control is T then
|
||||
begin
|
||||
Res := Control as T;
|
||||
Result := TEnumControlsResult.Stop;
|
||||
end;
|
||||
end
|
||||
);
|
||||
|
||||
Result := Res;
|
||||
end;
|
||||
|
||||
function TForm1.ExecuteStrategy(const Symbol: String; Timeframe: TTimeframe; const Processor: IMycProcessor<TDataPoint<TOhlcItem>>): TState;
|
||||
begin
|
||||
var terminated := TFlag.CreateObserver(FTerminate.Signal).State;
|
||||
|
||||
{$ifdef TICKDATA}
|
||||
var ticker := TConverter.CreateTicker<TDataPoint<TAskBidItem>>;
|
||||
|
||||
var lastPrice :=
|
||||
ticker.Chain<TDataPoint<Double>>(
|
||||
function(const Tick: TDataPoint<TAskBidItem>): TDataPoint<Double>
|
||||
begin
|
||||
Result.Time := Tick.Time;
|
||||
Result.Data := 0.5 * (Tick.Data.Ask + Tick.Data.Bid);
|
||||
end
|
||||
);
|
||||
|
||||
var OhlcPoint := lastPrice.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateTickAggregation(Timeframe));
|
||||
|
||||
OhlcPoint.Sender.Link(Processor);
|
||||
|
||||
var dataProvider :=
|
||||
TConverter<TArray<TDataPoint<TAuraAskBidFileItem>>, TArray<TDataPoint<TAskBidItem>>>.CreateGeneric(
|
||||
function(const Values: TArray<TDataPoint<TAuraAskBidFileItem>>): TArray<TDataPoint<TAskBidItem>>
|
||||
begin
|
||||
SetLength(Result, Length(Values));
|
||||
for var i := 0 to High(Result) do
|
||||
begin
|
||||
Result[i].Time := Values[i].Time;
|
||||
Result[i].Data.Ask := Values[i].Data.Ask;
|
||||
Result[i].Data.Bid := Values[i].Data.Bid;
|
||||
end;
|
||||
end
|
||||
);
|
||||
|
||||
dataProvider.Sender.Link(ticker);
|
||||
|
||||
Result := FServer.ProcessData(Symbol, terminated, dataProvider);
|
||||
{$else}
|
||||
|
||||
var ticker := TConverter.CreateTicker<TDataPoint<TOhlcItem>>;
|
||||
|
||||
var OhlcPoint := ticker.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateOhlcAggregation(Timeframe));
|
||||
|
||||
OhlcPoint.Sender.Link(Processor);
|
||||
|
||||
Result := FServer.ProcessData(Symbol, terminated, ticker);
|
||||
|
||||
{$endif}
|
||||
end;
|
||||
|
||||
function TForm1.SelectedSymbol: String;
|
||||
begin
|
||||
Result := '';
|
||||
if RandomBox.IsChecked then
|
||||
Result := FSymbols.WaitFor[Random(Length(FSymbols.WaitFor))]
|
||||
else if SymbolsComboBox.ItemIndex >= 0 then
|
||||
Result := FSymbols.WaitFor[SymbolsComboBox.ItemIndex];
|
||||
end;
|
||||
|
||||
procedure TForm1.StrategyButtonClick(Sender: TObject);
|
||||
begin
|
||||
var Layout := CurrLayout<TVertScrollBox>;
|
||||
if Layout = nil then
|
||||
exit;
|
||||
|
||||
var Symbol := SelectedSymbol;
|
||||
if Symbol = '' then
|
||||
exit;
|
||||
|
||||
var chart := TMycChart.Create(Self);
|
||||
AlignControl(chart);
|
||||
chart.Height := Layout.ChildrenRect.Width * 9 / 16;
|
||||
chart.Lookback.Value := 50000;
|
||||
|
||||
/////
|
||||
|
||||
var OhlcPoint := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
|
||||
|
||||
var timeframe := TTimeframe.H;
|
||||
|
||||
var Timestamps := OhlcPoint.Field<TDateTime>('Time');
|
||||
var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
|
||||
var Closes := Ohlc.Field<Double>('Close');
|
||||
|
||||
var Hull := Closes.MakeParallel.Chain<Double>(TIndicators.CreateHMA(150));
|
||||
var Sma := Closes.MakeParallel.Chain<Double>(TIndicators.CreateSMA(50));
|
||||
var Ema := Closes.MakeParallel.Chain<Double>(TIndicators.CreateEMA(21));
|
||||
var Boli := Closes.MakeParallel.Chain<TBollingerBandsResult>(TIndicators.CreateBollingerBands(20, 2.0));
|
||||
var Rsi := Closes.MakeParallel.Chain<Double>(TIndicators.CreateRSI(14));
|
||||
var Macd := Closes.MakeParallel.Chain<TMacdResult>(TIndicators.CreateMACD(12, 26, 9));
|
||||
var Stoch := Ohlc.MakeParallel.Chain<TStochasticResult>(TIndicators.CreateStochastic(14, 3));
|
||||
|
||||
chart.SetXAxisSeries(timeframe, Timestamps.Sender);
|
||||
|
||||
var Panel := chart.AddPanel;
|
||||
Panel.AddOhlcSeries(Ohlc.Sender);
|
||||
Panel.AddDoubleSeries(Hull.Sender, TAlphaColors.Aliceblue);
|
||||
Panel.AddDoubleSeries(Sma.Sender, TAlphaColors.Yellow);
|
||||
Panel.AddDoubleSeries(Ema.Sender, TAlphaColors.Aqua);
|
||||
Panel.AddDoubleSeries(Boli.Field<Double>('UpperBand').Sender, TAlphaColors.Gray);
|
||||
Panel.AddDoubleSeries(Boli.Field<Double>('MiddleBand').Sender, TAlphaColors.Darkgray, 1.0);
|
||||
Panel.AddDoubleSeries(Boli.Field<Double>('LowerBand').Sender, TAlphaColors.Gray);
|
||||
|
||||
Panel := chart.AddPanel;
|
||||
Panel.AddDoubleSeries(Rsi.Sender, TAlphaColors.Fuchsia);
|
||||
|
||||
Panel := chart.AddPanel;
|
||||
Panel.AddDoubleSeries(Macd.Field<Double>('MacdLine').Sender, TAlphaColors.Orange);
|
||||
Panel.AddDoubleSeries(Macd.Field<Double>('SignalLine').Sender, TAlphaColors.Dodgerblue);
|
||||
Panel.AddDoubleSeries(Macd.Field<Double>('Histogram').Sender, TAlphaColors.Lightgreen);
|
||||
|
||||
Panel := chart.AddPanel;
|
||||
Panel.AddDoubleSeries(Stoch.Field<Double>('K').Sender, TAlphaColors.Green);
|
||||
Panel.AddDoubleSeries(Stoch.Field<Double>('D').Sender, TAlphaColors.Red);
|
||||
|
||||
/////
|
||||
{
|
||||
var tickChart := TMycChart.Create(Self);
|
||||
tickChart.Height := Layout.ChildrenRect.Width * 9 / 16;
|
||||
AlignControl(tickChart);
|
||||
tickChart.Lookback.Value := 1000000;
|
||||
|
||||
var TickTime := ticker.Field<TDateTime>('Time');
|
||||
|
||||
var TickData := ticker.Field<TAskBidItem>('Data');
|
||||
var TickAsk := TickData.Field<Double>('Ask');
|
||||
var TickBid := TickData.Field<Double>('Bid');
|
||||
|
||||
var TickSpread := TickData.Chain<Double>(function(const Tick: TAskBidItem): Double begin Result := Tick.Bid - Tick.Ask; end);
|
||||
|
||||
tickChart.SetXAxisSeries(TTimeframe.S, TickTime.Sender);
|
||||
panel := tickChart.AddPanel;
|
||||
panel.AddDoubleSeries(TickAsk.Sender, TAlphaColors.Blue);
|
||||
panel.AddDoubleSeries(TickBid.Sender, TAlphaColors.Red);
|
||||
|
||||
panel := tickChart.AddPanel;
|
||||
panel.AddDoubleSeries(TickSpread.Sender);
|
||||
}
|
||||
/////
|
||||
|
||||
var done := ExecuteStrategy(Symbol, timeframe, OhlcPoint);
|
||||
FProcessDone := TState.All([FProcessDone, done]);
|
||||
end;
|
||||
|
||||
procedure TForm1.Strat2ButtonClick(Sender: TObject);
|
||||
function TForm1.CreateStrategy2(Timeframe: TTimeframe): IMycProcessor<TDataPoint<TOhlcItem>>;
|
||||
type
|
||||
TSignal = record
|
||||
Sig: Double;
|
||||
@@ -468,9 +300,10 @@ type
|
||||
var
|
||||
panel: TMycChart.TPanel;
|
||||
begin
|
||||
var timeframe := TTimeframe.M15;
|
||||
var ticker := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
|
||||
Result := ticker;
|
||||
|
||||
var OhlcPoint := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
|
||||
var OhlcPoint := ticker.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateOhlcAggregation(Timeframe));
|
||||
|
||||
var Ohlc := TConverter.CreateSequence<TOhlcItem>(2, OhlcPoint.Field<TOhlcItem>('Data').Sender);
|
||||
|
||||
@@ -623,9 +456,185 @@ begin
|
||||
panel.AddDoubleSeries(equity.Sender, TAlphaColors.Blue, 3);
|
||||
|
||||
/////
|
||||
end;
|
||||
|
||||
var done := ExecuteStrategy(Symbol, timeframe, OhlcPoint);
|
||||
FProcessDone := TState.All([FProcessDone, done]);
|
||||
function TForm1.CurrLayout<T>: T;
|
||||
begin
|
||||
if TabControl.ActiveTab = nil then
|
||||
exit(nil);
|
||||
|
||||
var Res: T := nil;
|
||||
TabControl.ActiveTab.EnumControls(
|
||||
function(Control: TControl): TEnumControlsResult
|
||||
begin
|
||||
Result := TEnumControlsResult.Continue;
|
||||
if Control is T then
|
||||
begin
|
||||
Res := Control as T;
|
||||
Result := TEnumControlsResult.Stop;
|
||||
end;
|
||||
end
|
||||
);
|
||||
|
||||
Result := Res;
|
||||
end;
|
||||
|
||||
procedure TForm1.ExecuteStrategy(const Symbol: String; Timeframe: TTimeframe; const Processor: IMycProcessor<TDataPoint<TOhlcItem>>);
|
||||
begin
|
||||
var terminated := TFlag.CreateObserver(FTerminate.Signal).State;
|
||||
|
||||
{$ifdef TICKDATA}
|
||||
var ticker := TConverter.CreateTicker<TDataPoint<TAskBidItem>>;
|
||||
|
||||
var lastPrice :=
|
||||
ticker.Chain<TDataPoint<Double>>(
|
||||
function(const Tick: TDataPoint<TAskBidItem>): TDataPoint<Double>
|
||||
begin
|
||||
Result.Time := Tick.Time;
|
||||
Result.Data := 0.5 * (Tick.Data.Ask + Tick.Data.Bid);
|
||||
end
|
||||
);
|
||||
|
||||
var OhlcPoint := lastPrice.Chain<TDataPoint<TOhlcItem>>(TConverter.CreateTickAggregation(Timeframe));
|
||||
OhlcPoint.Sender.Link(Processor);
|
||||
|
||||
var dataProvider :=
|
||||
TConverter<TArray<TDataPoint<TAuraAskBidFileItem>>, TArray<TDataPoint<TAskBidItem>>>.CreateGeneric(
|
||||
function(const Values: TArray<TDataPoint<TAuraAskBidFileItem>>): TArray<TDataPoint<TAskBidItem>>
|
||||
begin
|
||||
SetLength(Result, Length(Values));
|
||||
for var i := 0 to High(Result) do
|
||||
begin
|
||||
Result[i].Time := Values[i].Time;
|
||||
Result[i].Data.Ask := Values[i].Data.Ask;
|
||||
Result[i].Data.Bid := Values[i].Data.Bid;
|
||||
end;
|
||||
end
|
||||
);
|
||||
|
||||
dataProvider.Sender.Link(ticker);
|
||||
|
||||
FProcessDone := FProcessDone + FServer.ProcessData(Symbol, terminated, dataProvider);
|
||||
{$else}
|
||||
|
||||
var ticker := TConverter.CreateTicker<TDataPoint<TOhlcItem>>;
|
||||
|
||||
ticker.Sender.Link(Processor);
|
||||
|
||||
FProcessDone := FProcessDone + FServer.ProcessData(Symbol, terminated, ticker);
|
||||
{$endif}
|
||||
end;
|
||||
|
||||
function TForm1.SelectedSymbol: String;
|
||||
begin
|
||||
Result := '';
|
||||
if RandomBox.IsChecked then
|
||||
Result := FSymbols.WaitFor[Random(Length(FSymbols.WaitFor))]
|
||||
else if SymbolsComboBox.ItemIndex >= 0 then
|
||||
Result := FSymbols.WaitFor[SymbolsComboBox.ItemIndex];
|
||||
end;
|
||||
|
||||
procedure TForm1.StrategyButtonClick(Sender: TObject);
|
||||
begin
|
||||
var Layout := CurrLayout<TVertScrollBox>;
|
||||
if Layout = nil then
|
||||
exit;
|
||||
|
||||
var Symbol := SelectedSymbol;
|
||||
if Symbol = '' then
|
||||
exit;
|
||||
|
||||
var chart := TMycChart.Create(Self);
|
||||
AlignControl(chart);
|
||||
chart.Height := Layout.ChildrenRect.Width * 9 / 16;
|
||||
chart.Lookback.Value := 50000;
|
||||
|
||||
/////
|
||||
|
||||
var OhlcPoint := TConverter.CreateIdentity<TDataPoint<TOhlcItem>>;
|
||||
|
||||
var timeframe := TTimeframe.H;
|
||||
|
||||
var Timestamps := OhlcPoint.Field<TDateTime>('Time');
|
||||
var Ohlc := OhlcPoint.Field<TOhlcItem>('Data');
|
||||
var Closes := Ohlc.Field<Double>('Close');
|
||||
|
||||
var Hull := Closes.MakeParallel.Chain<Double>(TIndicators.CreateHMA(150));
|
||||
var Sma := Closes.MakeParallel.Chain<Double>(TIndicators.CreateSMA(50));
|
||||
var Ema := Closes.MakeParallel.Chain<Double>(TIndicators.CreateEMA(21));
|
||||
var Boli := Closes.MakeParallel.Chain<TBollingerBandsResult>(TIndicators.CreateBollingerBands(20, 2.0));
|
||||
var Rsi := Closes.MakeParallel.Chain<Double>(TIndicators.CreateRSI(14));
|
||||
var Macd := Closes.MakeParallel.Chain<TMacdResult>(TIndicators.CreateMACD(12, 26, 9));
|
||||
var Stoch := Ohlc.MakeParallel.Chain<TStochasticResult>(TIndicators.CreateStochastic(14, 3));
|
||||
|
||||
chart.SetXAxisSeries(timeframe, Timestamps.Sender);
|
||||
|
||||
var Panel := chart.AddPanel;
|
||||
Panel.AddOhlcSeries(Ohlc.Sender);
|
||||
Panel.AddDoubleSeries(Hull.Sender, TAlphaColors.Aliceblue);
|
||||
Panel.AddDoubleSeries(Sma.Sender, TAlphaColors.Yellow);
|
||||
Panel.AddDoubleSeries(Ema.Sender, TAlphaColors.Aqua);
|
||||
Panel.AddDoubleSeries(Boli.Field<Double>('UpperBand').Sender, TAlphaColors.Gray);
|
||||
Panel.AddDoubleSeries(Boli.Field<Double>('MiddleBand').Sender, TAlphaColors.Darkgray, 1.0);
|
||||
Panel.AddDoubleSeries(Boli.Field<Double>('LowerBand').Sender, TAlphaColors.Gray);
|
||||
|
||||
Panel := chart.AddPanel;
|
||||
Panel.AddDoubleSeries(Rsi.Sender, TAlphaColors.Fuchsia);
|
||||
|
||||
Panel := chart.AddPanel;
|
||||
Panel.AddDoubleSeries(Macd.Field<Double>('MacdLine').Sender, TAlphaColors.Orange);
|
||||
Panel.AddDoubleSeries(Macd.Field<Double>('SignalLine').Sender, TAlphaColors.Dodgerblue);
|
||||
Panel.AddDoubleSeries(Macd.Field<Double>('Histogram').Sender, TAlphaColors.Lightgreen);
|
||||
|
||||
Panel := chart.AddPanel;
|
||||
Panel.AddDoubleSeries(Stoch.Field<Double>('K').Sender, TAlphaColors.Green);
|
||||
Panel.AddDoubleSeries(Stoch.Field<Double>('D').Sender, TAlphaColors.Red);
|
||||
|
||||
/////
|
||||
{
|
||||
var tickChart := TMycChart.Create(Self);
|
||||
tickChart.Height := Layout.ChildrenRect.Width * 9 / 16;
|
||||
AlignControl(tickChart);
|
||||
tickChart.Lookback.Value := 1000000;
|
||||
|
||||
var TickTime := ticker.Field<TDateTime>('Time');
|
||||
|
||||
var TickData := ticker.Field<TAskBidItem>('Data');
|
||||
var TickAsk := TickData.Field<Double>('Ask');
|
||||
var TickBid := TickData.Field<Double>('Bid');
|
||||
|
||||
var TickSpread := TickData.Chain<Double>(function(const Tick: TAskBidItem): Double begin Result := Tick.Bid - Tick.Ask; end);
|
||||
|
||||
tickChart.SetXAxisSeries(TTimeframe.S, TickTime.Sender);
|
||||
panel := tickChart.AddPanel;
|
||||
panel.AddDoubleSeries(TickAsk.Sender, TAlphaColors.Blue);
|
||||
panel.AddDoubleSeries(TickBid.Sender, TAlphaColors.Red);
|
||||
|
||||
panel := tickChart.AddPanel;
|
||||
panel.AddDoubleSeries(TickSpread.Sender);
|
||||
}
|
||||
/////
|
||||
|
||||
ExecuteStrategy(Symbol, timeframe, OhlcPoint);
|
||||
end;
|
||||
|
||||
procedure TForm1.Strat2ButtonClick(Sender: TObject);
|
||||
begin
|
||||
var Symbol := SelectedSymbol;
|
||||
if Symbol = '' then
|
||||
exit;
|
||||
|
||||
var timeframe := TTimeframe.M15;
|
||||
ExecuteStrategy(Symbol, timeframe, CreateStrategy2(timeframe));
|
||||
|
||||
// timeframe := M5;
|
||||
// ExecuteStrategy(Symbol, timeframe, CreateStrategy2(timeframe));
|
||||
// timeframe := H4;
|
||||
// ExecuteStrategy(Symbol, timeframe, CreateStrategy2(timeframe));
|
||||
// timeframe := D;
|
||||
// ExecuteStrategy(Symbol, timeframe, CreateStrategy2(timeframe));
|
||||
// timeframe := M;
|
||||
// ExecuteStrategy(Symbol, timeframe, CreateStrategy2(timeframe));
|
||||
end;
|
||||
|
||||
{ TEquitySum<S, T> }
|
||||
|
||||
Reference in New Issue
Block a user