Class SimulatorCore

Simulator engine core, managing data sources and instruments, processing a sequence of bars, simulating trades, keeping track of positions, and maintaining log information.

Inheritance

object

SimulatorCore

Algorithm

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.Simulator

Assembly: TuringTrader.Simulator.dll

Syntax

public abstract class SimulatorCore

Constructors

SimulatorCore()

Initialize simulator engine. Only very little is happening here, most of the engine initialization is performed in SimTimes, to allow multiple runs of the same algorithm instance.

Declaration

protected SimulatorCore()

Fields

CommissionPerShare

Commision to be paid per share. The default value is zero, equivalent to no commissions. Algorithms should set this to match the commissions paid on high account values/ large numbers of shares traded.

Declaration

protected double CommissionPerShare

Field Value

Type	Description
double

EndTime

Time stamp, representing the last bar processed by the simulator. For simulations reaching into live trading, this should be set to a future time.

Declaration

protected DateTime EndTime

Field Value

Type	Description
DateTime

IsLastBar

Flag, indicating the last bar processed by the simulator. Algorithms may use this to implement special handling of this last bar, e.g. setting up live trades.

Declaration

public bool IsLastBar

Field Value

Type	Description
bool

Log

Simulator's order log.

Declaration

public List<LogEntry> Log

Field Value

Type	Description
List<LogEntry>

NetAssetValue

Total net liquidation value of all positions plus cash.

Declaration

public TimeSeries<double> NetAssetValue

Field Value

Type	Description
TimeSeries<double>

NetAssetValueHighestHigh

Highest high of net asset value.

Declaration

public double NetAssetValueHighestHigh

Field Value

Type	Description
double

NetAssetValueMaxDrawdown

Maximum drawdown of net asset value, expressed as a fractional value between 0 and 1.

Declaration

public double NetAssetValueMaxDrawdown

Field Value

Type	Description
double

Positions

Collection of all instrument objects with currently open positions. Typically, algorithms will use the Positions property of an instrument, instead of checking this collection for a match.

Declaration

public Dictionary<Instrument, int> Positions

Field Value

Type	Description
Dictionary<Instrument, int>

SimTime

Time series of simulation time stamps with the most recent/ current time stamp at index 0.

Declaration

public TimeSeries<DateTime> SimTime

Field Value

Type	Description
TimeSeries<DateTime>

StartTime

Time stamp representing the first bar, on which the simulator will perform trades. Most often, this is also the earliest bar being processed by the simulator, unless WarmupStartTime is set to an earlier time.

Declaration

protected DateTime StartTime

Field Value

Type	Description
DateTime

TradingDays

Number of trading days processed. The first trading day is considered the bar, on which the very first trade is executed. This may or may not be the first trade submitted.

Declaration

public int TradingDays

Field Value

Type	Description
int

WarmupStartTime

Optional value, specifying a time stamp earlier than StartTime, representing the first bar processed by the simulator. Setting this value allows to warm up indicators and internal calculations prior to starting trading activity.

Declaration

protected DateTime? WarmupStartTime

Field Value

Type	Description
DateTime?

Properties

Cash

Currently available cash position. Algorithms will typically initialize this value at the beginning of the simulation.

Declaration

public double Cash { get; }

Property Value

Type	Description
double

Instruments

Enumeration of instruments available to the simulator. It is important to understand that instruments are created dynamically during simulation such, that in many cases the number of instruments held in this collection increases over the course of the simulation.

Declaration

public IEnumerable<Instrument> Instruments { get; }

Property Value

Type	Description
IEnumerable<Instrument>

Name

Return class type name. This method will return the name of the derived class, typically a proprietary algorithm derived from Algorithm.

Declaration

public virtual string Name { get; set; }

Property Value

Type	Description
string

NextSimTime

Next simulator time stamp

Declaration

public DateTime NextSimTime { get; }

Property Value

Type	Description
DateTime

PendingOrders

List of pending orders.

Declaration

public List<Order> PendingOrders { get; }

Property Value

Type	Description
List<Order>

SimTimes

Enumerable of available simulation time stamps. An algorithm processes bars by iterating through these time stamps using a foreach loop.

Declaration

protected IEnumerable<DateTime> SimTimes { get; }

Property Value

Type	Description
IEnumerable<DateTime>

Methods

AddDataSource(object)

Create new data source and attach it to the simulator. This overload allows to flexibly create data sources from various types.

Declaration

protected DataSource AddDataSource(object obj)

Parameters

Type	Name	Description
object	obj	nickname, algorithm object, or data source object

Returns

Type	Description
DataSource	data source created and attached

AddDataSource(string)

Create new data source and attach it to the simulator. If the simulator already has a data source with the given nickname attached, the call is ignored.

Declaration

protected DataSource AddDataSource(string nickname)

Parameters

Type	Name	Description
string	nickname	nickname to create data source for

Returns

Type	Description
DataSource	data source created and attached

AddDataSource(Algorithm)

Create new data source and attach it to the simulator. If the simulator already has a data source representing the given algo attached, the call call is ignored.

Declaration

protected DataSource AddDataSource(Algorithm algo)

Parameters

Type	Name	Description
Algorithm	algo	algorithm to create data source for

Returns

Type	Description
DataSource	data source created and attached

AddDataSource(DataSource)

Attach existing data source to the simulator. If this data source has already been attached to the simulator, the call is ignored. This call is typically used to attach custom data sources, which have been created without using TuringTrader's object factory.

Declaration

protected DataSource AddDataSource(DataSource dataSource)

Parameters

Type	Name	Description
DataSource	dataSource	new data source

Returns

Type	Description
DataSource	data source attached

AddDataSources(IEnumerable<string>)

Add multiple data sources at once and return an enumeration of data sources. If the simulator already has data sources with any of the given nicknames, those data sources will be re-used.

Declaration

protected IEnumerable<DataSource> AddDataSources(IEnumerable<string> nicknames)

Parameters

Type	Name	Description
IEnumerable<string>	nicknames	enumerable of nicknames

Returns

Type	Description
IEnumerable<DataSource>	enumerable of newly created data sources

CalcNextSimTime(DateTime)

Determine next sim time. This hook is used by the simulator to determine the value for NextSimTime, after reaching the end of the available historical bars. The default implementation assumes the trading calendar for U.S. stock exchanges.

Declaration

protected virtual DateTime CalcNextSimTime(DateTime timestamp)

Parameters

Type	Name	Description
DateTime	timestamp

Returns

Type	Description
DateTime	next simulator timestamp

Deposit(double)

Deposit cash into account. Note that the deposit amount must be positive.

Declaration

protected void Deposit(double amount)

Parameters

Type	Name	Description
double	amount	amount to deposit

FillModel(Order, Bar, double)

Order fill model. This method is only called for those orders which are executed, but not for those which expired. The default implementation fills orders at their theoretical price. Algorithms can override this method to implement more realistic fill models reflecting slippage.

Declaration

protected virtual double FillModel(Order orderTicket, Bar barOfExecution, double theoreticalPrice)

Parameters

Type	Name	Description
Order	orderTicket	original order ticket
Bar	barOfExecution	bar of order execution
double	theoreticalPrice	theoretical fill price

Returns

Type	Description
double	custom fill price. default: theoretical fill price

FindInstrument(string)

Find an instrument in the Instruments collection by its nickname. In case multiple instruments have the same nickname, the first match will be returned.

Declaration

protected Instrument FindInstrument(string nickname)

Parameters

Type	Name	Description
string	nickname	nickname of instrument to find

Returns

Type	Description
Instrument	instrument matching nickname

HasInstrument(string)

Check, if the we have an instrument with the given nickname. Use this to check if an instrument is available for a given data source.

Declaration

protected bool HasInstrument(string nickname)

Parameters

Type	Name	Description
string	nickname	nickname to check

Returns

Type	Description
bool	true, if instrument exists

HasInstrument(DataSource)

Check if we have an instrument for the given datasource.

Declaration

protected bool HasInstrument(DataSource ds)

Parameters

Type	Name	Description
DataSource	ds	data source to check

Returns

Type	Description
bool	true, if instrument exists

HasInstruments(IEnumerable<string>)

Check, if we have instruments for all given nicknames

Declaration

protected bool HasInstruments(IEnumerable<string> nicknames)

Parameters

Type	Name	Description
IEnumerable<string>	nicknames	enumerable with nick names

Returns

Type	Description
bool	true, if all instruments exist

HasInstruments(IEnumerable<DataSource>)

Check, if we have instruments for all given data sources

Declaration

protected bool HasInstruments(IEnumerable<DataSource> sources)

Parameters

Type	Name	Description
IEnumerable<DataSource>	sources	enumerable of data sources

Returns

Type	Description
bool	true, if all instruments exist

IsValidBar(Bar)

Validate bar. This hook is used by the simulator to validate bars. Invalid bars are relevant in the following situations: (1) option chain: Simulator.OptionChain will not return contracts with invalid bars at the current sim time. (2) nav calculation: The simulator will ignore invalid bars when calculating Simulator.NetAssetValue The default implementation marks bars invalid under the following conditions: (1) bid volume or ask volume is zero. (2) bid price is less than 20% of ask price.

Declaration

protected virtual bool IsValidBar(Bar bar)

Parameters

Type	Name	Description
Bar	bar

Returns

Type	Description
bool

IsValidSimTime(DateTime)

Validate simulator timestamp. Timestamps deemed invalid will be skipped and not passed on to the user algorithm. The default implementation is geared at the U.S. stock market and skips all bars not within regular trading hours of the NYSE.

Declaration

protected virtual bool IsValidSimTime(DateTime timestamp)

Parameters

Type	Name	Description
DateTime	timestamp	simulator timestamp

Returns

Type	Description
bool	true, if valid

OptionChain(string)

Retrieve option chain by its nickname. This will return a list of all instruments with the given nickname, marked as options, and with bars available at the current simulation time.

Declaration

protected List<Instrument> OptionChain(string nickname)

Parameters

Type	Name	Description
string	nickname	option nickname

Returns

Type	Description
List<Instrument>	list of option instruments

OptionChain(DataSource)

Retrieve option chain by its data source. This will return a list of all instruments with the given data source, marked as options, and with bars available at the current simulation time.

Declaration

protected List<Instrument> OptionChain(DataSource ds)

Parameters

Type	Name	Description
DataSource	ds

Returns

Type	Description
List<Instrument>

QueueOrder(Order)

Queue order ticket for execution. Typically, algorithms won't use this function directly, but use Instrument.Trade instead.

Declaration

public void QueueOrder(Order order)

Parameters

Type	Name	Description
Order	order

Withdraw(double)

Withdraw cash from account. Note that the withdrawal amount must be positive.

Declaration

protected void Withdraw(double amount)

Parameters

Type	Name	Description
double	amount	amount to withdraw

_calcNetAssetValue()

calculate algorithm's net asset value.

Declaration

protected virtual double _calcNetAssetValue()

Returns

Type	Description
double	nav

Extension Methods

GlobalSettings.GetRegistryValue(SimulatorCore, string, object)

GlobalSettings.SetRegistryValue(SimulatorCore, string, object)