├── ConsoleApp
    ├── packages.config
    ├── App.config
    ├── Properties
    │   └── AssemblyInfo.cs
    ├── Program.cs
    ├── Data
    │   ├── Day
    │   │   ├── vtbr.csv
    │   │   └── sber.csv
    │   ├── Custom
    │   │   └── sber.csv
    │   └── Hour
    │   │   ├── vtbr.csv
    │   │   └── sber.csv
    └── ConsoleApp.csproj
├── BackTesting.Model
    ├── packages.config
    ├── Events
    │   ├── IEventBus.cs
    │   ├── Event.cs
    │   ├── MarketEvent.cs
    │   ├── QueuedEventBus.cs
    │   ├── SignalEvent.cs
    │   ├── OrderEvent.cs
    │   └── FillEvent.cs
    ├── Enums
    │   ├── OrderType.cs
    │   ├── TransactionDirection.cs
    │   ├── SignalType.cs
    │   └── EventType.cs
    ├── MarketData
    │   ├── Symbols.cs
    │   ├── IMarketData.cs
    │   ├── Bar.cs
    │   ├── BarCsvMap.cs
    │   ├── ComposedMarketData.cs
    │   └── CsvDataSource.cs
    ├── DataHandlers
    │   ├── IDataHandler.cs
    │   └── HistoricDataHandler.cs
    ├── Portfolio
    │   ├── IPortfolio.cs
    │   ├── Holding.cs
    │   └── NaivePortfolio.cs
    ├── Utils
    │   ├── Extensions.cs
    │   ├── String2DateTime.cs
    │   └── Csv2Frame.cs
    ├── Strategies
    │   ├── IStrategy.cs
    │   └── BuyAndHoldStrategy.cs
    ├── ExecutionHandlers
    │   ├── IExecutionHandler.cs
    │   └── SimulatedExecutionHandler.cs
    ├── Properties
    │   └── AssemblyInfo.cs
    ├── BackTesting.Model.csproj
    └── BackTests
    │   └── BackTest.cs
├── readme.md
├── BackTesting.Tests
    ├── packages.config
    ├── Csv2FrameTests.cs
    ├── String2DateTimeTests.cs
    ├── CsvDataSourceTests.cs
    ├── Properties
    │   └── AssemblyInfo.cs
    ├── HistoricDataHandlerTests.cs
    ├── ComposedMarketDataTests.cs
    ├── BackTesting.Tests.csproj
    └── Mother.cs
├── EventDrivenBacktesting.sln
├── .gitattributes
└── .gitignore


/ConsoleApp/packages.config:
--------------------------------------------------------------------------------
1 | <?xml version="1.0" encoding="utf-8"?>
2 | <packages>
3 |   <package id="CsvHelper" version="2.13.5.0" targetFramework="net452" />
4 | </packages>


--------------------------------------------------------------------------------
/BackTesting.Model/packages.config:
--------------------------------------------------------------------------------
1 | <?xml version="1.0" encoding="utf-8"?>
2 | <packages>
3 |   <package id="CsvHelper" version="2.13.5.0" targetFramework="net452" />
4 | </packages>


--------------------------------------------------------------------------------
/BackTesting.Model/Events/IEventBus.cs:
--------------------------------------------------------------------------------
1 | namespace BackTesting.Model.Events
2 | {
3 |     public interface IEventBus
4 |     {
5 |         void Put(Event message);
6 |         Event Get();
7 |     }
8 | }
9 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Enums/OrderType.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model
 2 | {
 3 |     public enum OrderType
 4 |     {
 5 |         Undefined = 0,
 6 |         Market = 1,
 7 |         Limit = 2
 8 |     }
 9 | }
10 | 


--------------------------------------------------------------------------------
/ConsoleApp/App.config:
--------------------------------------------------------------------------------
1 | <?xml version="1.0" encoding="utf-8" ?>
2 | <configuration>
3 |     <startup> 
4 |         <supportedRuntime version="v4.0" sku=".NETFramework,Version=v4.5.2" />
5 |     </startup>
6 | </configuration>


--------------------------------------------------------------------------------
/BackTesting.Model/Enums/TransactionDirection.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model
 2 | {
 3 |     public enum TransactionDirection
 4 |     {
 5 |         Undefined = 0,
 6 |         Buy = 1,
 7 |         Sell = 2
 8 |     }
 9 | }
10 | 


--------------------------------------------------------------------------------
/readme.md:
--------------------------------------------------------------------------------
1 | Event-Driven Backtesting
2 | 
3 | From: http://www.quantstart.com/articles/Event-Driven-Backtesting-with-Python-Part-I
4 | 
5 | To: http://www.quantstart.com/articles/Event-Driven-Backtesting-with-Python-Part-VIII
6 | 
7 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Enums/SignalType.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model
 2 | {
 3 |     public enum SignalType
 4 |     {
 5 |         Undefined = 0,
 6 |         Long = 1,
 7 |         Short = 2,
 8 |         Exit = 3
 9 |     }
10 | }
11 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Enums/EventType.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model
 2 | {
 3 |     public enum EventType
 4 |     {
 5 |         Undefined = 0,
 6 |         Market = 1,
 7 |         Signal = 2,
 8 |         Order = 3,
 9 |         Fill = 4
10 |     }
11 | }
12 | 


--------------------------------------------------------------------------------
/BackTesting.Tests/packages.config:
--------------------------------------------------------------------------------
1 | <?xml version="1.0" encoding="utf-8"?>
2 | <packages>
3 |   <package id="NUnit" version="3.0.1" targetFramework="net452" />
4 |   <package id="NUnit.ReSharperRunner3" version="3.0.12" targetFramework="net452" />
5 | </packages>


--------------------------------------------------------------------------------
/BackTesting.Model/MarketData/Symbols.cs:
--------------------------------------------------------------------------------
1 | namespace BackTesting.Model.MarketData
2 | {
3 |     public static class Symbols
4 |     {
5 |         public static readonly string Sber = "sber";
6 |         public static readonly string Vtbr = "vtbr";
7 |     }
8 | }
9 | 


--------------------------------------------------------------------------------
/BackTesting.Model/MarketData/IMarketData.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.MarketData
 2 | {
 3 |     using System;
 4 |     using System.Collections.Generic;
 5 | 
 6 |     public interface IMarketData
 7 |     {
 8 |         IDictionary<string, IDictionary<DateTime, Bar>> Bars { get; }
 9 |         IList<DateTime> RowKeys { get; }
10 |         ICollection<string> Symbols { get; }
11 |     }
12 | }
13 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Events/Event.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Events
 2 | {
 3 |     /// <summary>
 4 |     /// Event is base class providing an interface for all subsequent 
 5 |     /// (inherited) events, that will trigger further events in the
 6 |     ///  trading infrastructure.
 7 |     /// </summary>
 8 |     public abstract class Event
 9 |     {
10 |         public abstract EventType EventType { get; }
11 |     }
12 | }
13 | 


--------------------------------------------------------------------------------
/BackTesting.Model/DataHandlers/IDataHandler.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.DataHandlers
 2 | {
 3 |     using System;
 4 |     using System.Collections.Generic;
 5 |     using BackTesting.Model.MarketData;
 6 | 
 7 |     public interface IDataHandler
 8 |     {
 9 |         ICollection<string> Symbols { get; }
10 |         bool ContinueBacktest { get; }
11 |         DateTime? CurrentTime { get; }
12 |         Bar GetLast(string symbol);
13 |         decimal? GetLastClosePrice(string symbol);
14 |         void Update();
15 |     }
16 | }
17 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Portfolio/IPortfolio.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Portfolio
 2 | {
 3 |     using System;
 4 |     using System.Collections.Generic;
 5 |     using BackTesting.Model.Events;
 6 | 
 7 |     public interface IPortfolio
 8 |     {
 9 |         void UpdateSignal(SignalEvent signal);
10 |         void UpdateFill(FillEvent fill);
11 |         void UpdateTimeIndex(MarketEvent market);
12 |         IDictionary<DateTime, Holding> HoldingHistory { get; }
13 |         IDictionary<DateTime, decimal> GetEquityCurve();
14 |     }
15 | }
16 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Events/MarketEvent.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Events
 2 | {
 3 |     using System;
 4 | 
 5 |     /// <summary>
 6 |     /// Handles the event of receiving a new market update with corresponding bars.
 7 |     /// </summary>
 8 |     public class MarketEvent : Event
 9 |     {
10 |         public override EventType EventType => EventType.Market;
11 | 
12 |         public DateTime CurrentTime { get; }
13 | 
14 |         public MarketEvent(DateTime currentTime)
15 |         {
16 |             this.CurrentTime = currentTime;
17 |         }
18 |     }
19 | }
20 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Utils/Extensions.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Utils
 2 | {
 3 |     using System;
 4 |     using System.Collections.Generic;
 5 |     using BackTesting.Model.MarketData;
 6 | 
 7 |     public static class Extensions
 8 |     {
 9 |         public static void Print(this IDictionary<DateTime, Bar> bars)
10 |         {
11 |             foreach (var kvp in bars)
12 |             {
13 |                 Console.WriteLine($"{kvp.Key} => {kvp.Value}");
14 |             }
15 |         }
16 | 
17 |         public static void Print(this Bar bar)
18 |         {
19 |             Console.WriteLine(bar);
20 |         }
21 |     }
22 | }
23 | 


--------------------------------------------------------------------------------
/BackTesting.Tests/Csv2FrameTests.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Tests
 2 | {
 3 |     using System;
 4 |     using BackTesting.Model.MarketData;
 5 |     using BackTesting.Model.Utils;
 6 |     using NUnit.Framework;
 7 | 
 8 |     [TestFixture]
 9 |     public class Csv2FrameTests
10 |     {
11 |         [Test]
12 |         public void CanLoadBarsFromCsvString()
13 |         {
14 |             var bars = Csv2Frame.LoadBarsFromString(Mother.GenericCsvData[Symbols.Sber]);
15 | 
16 |             Assert.IsTrue(bars.Count > 0);
17 | 
18 |             foreach (var kvp in bars)
19 |             {
20 |                 Console.WriteLine($"{kvp.Key} => {kvp.Value}");
21 |             }
22 |         }
23 |     }
24 | }
25 | 


--------------------------------------------------------------------------------
/BackTesting.Model/MarketData/Bar.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.MarketData
 2 | {
 3 |     using System;
 4 | 
 5 |     public class Bar
 6 |     {
 7 |         public DateTime DateTime { get; set; }
 8 |         public string Symbol { get; set; }
 9 |         public string Period { get; set; }
10 |         public decimal Open { get; set; }
11 |         public decimal High { get; set; }
12 |         public decimal Low { get; set; }
13 |         public decimal Close { get; set; }
14 |         public long Volume { get; set; }
15 | 
16 |         public override string ToString()
17 |         {
18 |             return string.Format($"{this.DateTime} S={this.Symbol} P={this.Period} O={this.Open} H={this.High} L={this.Low} C={this.Close} V={this.Volume}");
19 |         }
20 |     }
21 | }
22 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Events/QueuedEventBus.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Events
 2 | {
 3 |     using System.Collections.Generic;
 4 | 
 5 |     public class QueuedEventBus : IEventBus
 6 |     {
 7 |         private readonly Queue<Event> queue;
 8 |         private static readonly object sync = new object();
 9 | 
10 |         public QueuedEventBus()
11 |         {
12 |             this.queue = new Queue<Event>();
13 |         }
14 | 
15 |         public Event Get()
16 |         {
17 |             lock (sync)
18 |             {
19 |                 return this.queue.Count <= 0 ? null : this.queue.Dequeue();
20 |             }
21 |         }
22 | 
23 |         public void Put(Event message)
24 |         {
25 |             lock (sync)
26 |             {
27 |                 this.queue.Enqueue(message);
28 |             }
29 |         }
30 |     }
31 | }
32 | 


--------------------------------------------------------------------------------
/BackTesting.Model/MarketData/BarCsvMap.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.MarketData
 2 | {
 3 |     using BackTesting.Model.Utils;
 4 |     using CsvHelper.Configuration;
 5 | 
 6 |     public sealed class BarCsvMap : CsvClassMap<Bar>
 7 |     {
 8 |         // <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
 9 |         public BarCsvMap()
10 |         {
11 |             Map(m => m.DateTime).ConvertUsing(row => String2DateTime.Convert(row.GetField<string>("<DATE>"), row.GetField<string>("<TIME>")));
12 |             Map(m => m.Symbol).Name("<TICKER>");
13 |             Map(m => m.Period).Name("<PER>");
14 |             Map(m => m.Open).Name("<OPEN>");
15 |             Map(m => m.High).Name("<HIGH>");
16 |             Map(m => m.Low).Name("<LOW>");
17 |             Map(m => m.Close).Name("<CLOSE>");
18 |             Map(m => m.Volume).Name("<VOL>");
19 |         }
20 |     }
21 | }
22 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Strategies/IStrategy.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Strategies
 2 | {
 3 |     /// <summary>
 4 |     /// Strategy is an abstract base class providing an interface for
 5 |     /// all subsequent (inherited) strategy handling objects.
 6 |     /// 
 7 |     /// The goal of a (derived) Strategy object is to generate Signal
 8 |     /// objects for particular symbols based on the inputs of Bars 
 9 |     /// (OLHCVI) generated by a DataHandler object.
10 |     /// 
11 |     /// This is designed to work both with historic and live data as
12 |     /// the Strategy object is agnostic to the data source,
13 |     /// since it obtains the bar tuples from a queue object.
14 |     /// </summary>
15 |     public interface IStrategy
16 |     {
17 |         /// <summary>
18 |         /// Provides the mechanisms to calculate the list of signals.
19 |         /// </summary>
20 |         void CalculateSignals();
21 |     }
22 | }
23 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Events/SignalEvent.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Events
 2 | {
 3 |     using System;
 4 | 
 5 |     public class SignalEvent : Event
 6 |     {
 7 |         public override EventType EventType => EventType.Signal;
 8 | 
 9 |         public string Symbol { get; private set; }
10 |         public DateTime TimeStamp { get; private set; }
11 |         public SignalType SignalType { get; private set; }
12 |         public decimal Strength { get; private set; }
13 | 
14 |         public SignalEvent(string symbol, DateTime timeStamp, SignalType signalType, decimal strength = 1m)
15 |         {
16 |             this.Symbol = symbol;
17 |             this.TimeStamp = timeStamp;
18 |             this.SignalType = signalType;
19 |             this.Strength = strength;
20 |         }
21 | 
22 |         public override string ToString()
23 |         {
24 |             return string.Format($"Signal: {this.TimeStamp} {this.Symbol} {this.SignalType} Strength={this.Strength}");
25 |         }
26 |     }
27 | }
28 | 


--------------------------------------------------------------------------------
/BackTesting.Model/ExecutionHandlers/IExecutionHandler.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.ExecutionHandlers
 2 | {
 3 |     using BackTesting.Model.Events;
 4 | 
 5 |     /// <summary>
 6 |     /// The ExecutionHandler abstract class handles the interaction
 7 |     /// between a set of order objects generated by a Portfolio and
 8 |     /// the ultimate set of Fill objects that actually occur in the
 9 |     /// market.
10 |     /// 
11 |     /// The handlers can be used to subclass simulated brokerages
12 |     /// or live brokerages, with identical interfaces.This allows
13 |     /// strategies to be backtested in a very similar manner to the
14 |     /// live trading engine.
15 |     /// </summary>
16 |     public interface IExecutionHandler
17 |     {
18 |         /// <summary>
19 |         /// Takes an Order event and executes it, producing
20 |         /// a Fill event that gets placed onto the Events queue.
21 |         /// </summary>
22 |         /// <param name="orderEvent">Contains an Event object with order information.</param>
23 |         void ExecuteOrder(OrderEvent orderEvent);
24 |     }
25 | }
26 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Events/OrderEvent.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Events
 2 | {
 3 |     using System;
 4 | 
 5 |     public class OrderEvent : Event
 6 |     {
 7 |         public override EventType EventType => EventType.Order;
 8 | 
 9 |         public string Symbol { get; private set; }
10 |         public OrderType OrderType { get; private set; }
11 |         public int Quantity { get; private set; }
12 |         public TransactionDirection OrderDirection { get; private set; }
13 |         public DateTime OrderTime { get; private set; }
14 | 
15 |         public OrderEvent(string symbol, OrderType orderType, int quantity, TransactionDirection orderDirection, DateTime orderTime)
16 |         {
17 |             this.Symbol = symbol;
18 |             this.OrderType = orderType;
19 |             this.Quantity = quantity;
20 |             this.OrderDirection = orderDirection;
21 |             this.OrderTime = orderTime;
22 |         }
23 | 
24 |         public override string ToString()
25 |         {
26 |             return string.Format($"Order: {this.OrderTime} {this.Symbol} {this.OrderDirection} {this.OrderType} Qty={this.Quantity}");
27 |         }
28 |     }
29 | }
30 | 


--------------------------------------------------------------------------------
/BackTesting.Model/MarketData/ComposedMarketData.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.MarketData
 2 | {
 3 |     using System;
 4 |     using System.Collections.Generic;
 5 |     using System.Linq;
 6 | 
 7 |     public class ComposedMarketData : IMarketData
 8 |     {
 9 |         public IList<DateTime> RowKeys { get; private set; }
10 |         public ICollection<string> Symbols => this.Bars.Keys;
11 |         public IDictionary<string, IDictionary<DateTime, Bar>> Bars { get; }
12 | 
13 |         public ComposedMarketData(IDictionary<string, IDictionary<DateTime, Bar>> bars)
14 |         {
15 |             this.Bars = bars;
16 |             this.RowKeys = this.ComposeRowKeys();
17 |         }
18 | 
19 |         private IList<DateTime> ComposeRowKeys()
20 |         {
21 |             var res = new List<DateTime>();
22 |             return this.Bars.Keys.Aggregate(res, (current, symbol) => UnionRowKeys(current, this.Bars[symbol].Keys).OrderBy(k => k).ToList());
23 |         } 
24 | 
25 |         private static IEnumerable<DateTime> UnionRowKeys(IEnumerable<DateTime> source1, IEnumerable<DateTime> source2)
26 |         {
27 |             return source1?.Union(source2) ?? source2;
28 |         }
29 |     }
30 | }
31 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Portfolio/Holding.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Portfolio
 2 | {
 3 |     using System;
 4 |     using System.Collections.Generic;
 5 |     using System.Text;
 6 | 
 7 |     public class Holding
 8 |     {
 9 |         public DateTime DateTime { get; set; }
10 |         public IDictionary<string, decimal> SymbolHoldings { get; set; }
11 |         public decimal Comission { get; set; }
12 |         public decimal Cash { get; set; }
13 |         public decimal Total { get; set; }
14 |         public decimal Change { get; set; }
15 | 
16 |         public decimal Returns { get; set; }
17 |         public decimal EquityCurve { get; set; }
18 | 
19 |         public Holding()
20 |         {
21 |             this.SymbolHoldings = new Dictionary<string, decimal>();
22 |         }
23 | 
24 |         public override string ToString()
25 |         {
26 |             var sb = new StringBuilder();
27 | 
28 |             foreach (var sh in SymbolHoldings)
29 |             {
30 |                 sb.AppendFormat($"{sh.Key}={sh.Value} ");
31 |             }
32 | 
33 |             sb.AppendFormat($"Comission={this.Comission} Cash={this.Cash} Total={this.Total} Change={this.Change}");
34 | 
35 |             return sb.ToString();
36 |         }
37 |     }
38 | }
39 | 


--------------------------------------------------------------------------------
/BackTesting.Model/ExecutionHandlers/SimulatedExecutionHandler.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.ExecutionHandlers
 2 | {
 3 |     using BackTesting.Model.DataHandlers;
 4 |     using BackTesting.Model.Events;
 5 |     using BackTesting.Model.MarketData;
 6 | 
 7 |     public class SimulatedExecutionHandler : IExecutionHandler
 8 |     {
 9 |         private const int CONST_ExecutionDelaySeconds = 5;
10 | 
11 |         private readonly IEventBus eventBus;
12 |         private readonly IDataHandler bars;
13 | 
14 |         public SimulatedExecutionHandler(IEventBus eventBus, IDataHandler bars)
15 |         {
16 |             this.eventBus = eventBus;
17 |             this.bars = bars;
18 |         }
19 | 
20 |         public void ExecuteOrder(OrderEvent orderEvent)
21 |         {
22 |             // Simulate order execution delay
23 |             var dateTime = orderEvent.OrderTime.AddSeconds(CONST_ExecutionDelaySeconds);
24 | 
25 |             var closePrice = this.bars.GetLastClosePrice(orderEvent.Symbol);
26 |             var fillCost = closePrice * orderEvent.Quantity ?? decimal.Zero;
27 | 
28 |             var fillEvent = new FillEvent(
29 |                 dateTime, 
30 |                 orderEvent.Symbol, 
31 |                 "ARCA", 
32 |                 orderEvent.Quantity, 
33 |                 orderEvent.OrderDirection, 
34 |                 fillCost);
35 | 
36 |             this.eventBus.Put(fillEvent);
37 |         }
38 |     }
39 | }
40 | 


--------------------------------------------------------------------------------
/BackTesting.Tests/String2DateTimeTests.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Tests
 2 | {
 3 |     using System;
 4 |     using Model.Utils;
 5 |     using NUnit.Framework;
 6 | 
 7 |     [TestFixture]
 8 |     public class String2DateTimeTests
 9 |     {
10 |         [Test]
11 |         public void ConvertEmptyDateStringReturnsNull()
12 |         {
13 |             var res = String2DateTime.Convert(string.Empty);
14 |             Assert.IsNull(res);
15 |         }
16 | 
17 |         [Test]
18 |         public void ConvertValidDateStringReturnsValidDate()
19 |         {
20 |             var res = String2DateTime.Convert("20151123");
21 |             var expectedDate = new DateTime(2015, 11, 23);
22 |             Assert.IsNotNull(res);
23 |             Assert.AreEqual(expectedDate, res);
24 |         }
25 | 
26 |         [Test]
27 |         public void ConvertValidDateTimeStringsReturnsValidDateTime()
28 |         {
29 |             var res = String2DateTime.Convert("20151123", "100226");
30 |             var expectedDate = new DateTime(2015, 11, 23, 10, 02, 26);
31 |             Assert.IsNotNull(res);
32 |             Assert.AreEqual(expectedDate, res);
33 |         }
34 | 
35 |         [Test]
36 |         public void ConvertDateWithZeroTimeReturnsValidDateTime()
37 |         {
38 |             var res = String2DateTime.Convert("20151123", "0");
39 |             var expectedDate = new DateTime(2015, 11, 23, 0, 0, 0);
40 |             Assert.IsNotNull(res);
41 |             Assert.AreEqual(expectedDate, res);
42 |         }
43 | 
44 |     }
45 | }
46 | 


--------------------------------------------------------------------------------
/ConsoleApp/Properties/AssemblyInfo.cs:
--------------------------------------------------------------------------------
 1 | using System.Reflection;
 2 | using System.Runtime.CompilerServices;
 3 | using System.Runtime.InteropServices;
 4 | 
 5 | // General Information about an assembly is controlled through the following 
 6 | // set of attributes. Change these attribute values to modify the information
 7 | // associated with an assembly.
 8 | [assembly: AssemblyTitle("ConsoleApp")]
 9 | [assembly: AssemblyDescription("")]
10 | [assembly: AssemblyConfiguration("")]
11 | [assembly: AssemblyCompany("")]
12 | [assembly: AssemblyProduct("ConsoleApp")]
13 | [assembly: AssemblyCopyright("Copyright ©  2015")]
14 | [assembly: AssemblyTrademark("")]
15 | [assembly: AssemblyCulture("")]
16 | 
17 | // Setting ComVisible to false makes the types in this assembly not visible 
18 | // to COM components.  If you need to access a type in this assembly from 
19 | // COM, set the ComVisible attribute to true on that type.
20 | [assembly: ComVisible(false)]
21 | 
22 | // The following GUID is for the ID of the typelib if this project is exposed to COM
23 | [assembly: Guid("4380b3f7-7731-4190-a978-2175f6fa48a5")]
24 | 
25 | // Version information for an assembly consists of the following four values:
26 | //
27 | //      Major Version
28 | //      Minor Version 
29 | //      Build Number
30 | //      Revision
31 | //
32 | // You can specify all the values or you can default the Build and Revision Numbers 
33 | // by using the '*' as shown below:
34 | // [assembly: AssemblyVersion("1.0.*")]
35 | [assembly: AssemblyVersion("1.0.0.0")]
36 | [assembly: AssemblyFileVersion("1.0.0.0")]
37 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Properties/AssemblyInfo.cs:
--------------------------------------------------------------------------------
 1 | using System.Reflection;
 2 | using System.Runtime.CompilerServices;
 3 | using System.Runtime.InteropServices;
 4 | 
 5 | // General Information about an assembly is controlled through the following 
 6 | // set of attributes. Change these attribute values to modify the information
 7 | // associated with an assembly.
 8 | [assembly: AssemblyTitle("BackTesting.Model")]
 9 | [assembly: AssemblyDescription("")]
10 | [assembly: AssemblyConfiguration("")]
11 | [assembly: AssemblyCompany("")]
12 | [assembly: AssemblyProduct("BackTesting.Model")]
13 | [assembly: AssemblyCopyright("Copyright ©  2015")]
14 | [assembly: AssemblyTrademark("")]
15 | [assembly: AssemblyCulture("")]
16 | 
17 | // Setting ComVisible to false makes the types in this assembly not visible 
18 | // to COM components.  If you need to access a type in this assembly from 
19 | // COM, set the ComVisible attribute to true on that type.
20 | [assembly: ComVisible(false)]
21 | 
22 | // The following GUID is for the ID of the typelib if this project is exposed to COM
23 | [assembly: Guid("7d064605-0729-433e-9ead-fd4c91ed0f59")]
24 | 
25 | // Version information for an assembly consists of the following four values:
26 | //
27 | //      Major Version
28 | //      Minor Version 
29 | //      Build Number
30 | //      Revision
31 | //
32 | // You can specify all the values or you can default the Build and Revision Numbers 
33 | // by using the '*' as shown below:
34 | // [assembly: AssemblyVersion("1.0.*")]
35 | [assembly: AssemblyVersion("1.0.0.0")]
36 | [assembly: AssemblyFileVersion("1.0.0.0")]
37 | 


--------------------------------------------------------------------------------
/BackTesting.Tests/CsvDataSourceTests.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Tests
 2 | {
 3 |     using System.Linq;
 4 |     using BackTesting.Model.MarketData;
 5 |     using BackTesting.Model.Utils;
 6 |     using NUnit.Framework;
 7 | 
 8 |     [TestFixture]
 9 |     public class CsvDataSourceTests
10 |     {
11 |         [Test]
12 |         public void DataSourceLoadedFromStringHasValidFrames()
13 |         {
14 |             var dataSource = CsvDataSource.CreateFormStrings(Mother.UnsortedRowsCsvData);
15 |             Assert.IsNotNull(dataSource.Bars);
16 |             Assert.AreEqual(2, dataSource.Bars.Keys.Count);
17 |             Assert.Contains(Symbols.Sber, dataSource.Bars.Keys.ToList());
18 |             Assert.Contains(Symbols.Vtbr, dataSource.Bars.Keys.ToList());
19 |         }
20 | 
21 |         [Test]
22 |         public void DataSourceLoadedFromDailyScvIsValid()
23 |         {
24 |             var dataSource = CsvDataSource.CreateFormStrings(Mother.DailyCsvData);
25 |             Assert.IsNotNull(dataSource.Bars);
26 |             Assert.AreEqual(1, dataSource.Bars.Keys.Count);
27 |             Assert.Contains(Symbols.Sber, dataSource.Bars.Keys.ToList());
28 | 
29 |             var sberBar = dataSource.Bars[Symbols.Sber];
30 |             Assert.IsTrue(sberBar.Keys.Any());
31 |         }
32 | 
33 |         [Test]
34 |         public void String2FrameTransformIsValid()
35 |         {
36 |             var csvString = Mother.DailyCsvData.First().Value;
37 |             var bars = Csv2Frame.LoadBarsFromString(csvString);
38 |             Assert.IsTrue(bars.Count > 0);
39 |         }
40 |     }
41 | }
42 | 


--------------------------------------------------------------------------------
/BackTesting.Tests/Properties/AssemblyInfo.cs:
--------------------------------------------------------------------------------
 1 | using System.Reflection;
 2 | using System.Runtime.CompilerServices;
 3 | using System.Runtime.InteropServices;
 4 | 
 5 | // General Information about an assembly is controlled through the following 
 6 | // set of attributes. Change these attribute values to modify the information
 7 | // associated with an assembly.
 8 | [assembly: AssemblyTitle("BackTesting.Tests")]
 9 | [assembly: AssemblyDescription("")]
10 | [assembly: AssemblyConfiguration("")]
11 | [assembly: AssemblyCompany("")]
12 | [assembly: AssemblyProduct("BackTesting.Tests")]
13 | [assembly: AssemblyCopyright("Copyright ©  2015")]
14 | [assembly: AssemblyTrademark("")]
15 | [assembly: AssemblyCulture("")]
16 | 
17 | // Setting ComVisible to false makes the types in this assembly not visible 
18 | // to COM components.  If you need to access a type in this assembly from 
19 | // COM, set the ComVisible attribute to true on that type.
20 | [assembly: ComVisible(false)]
21 | 
22 | // The following GUID is for the ID of the typelib if this project is exposed to COM
23 | [assembly: Guid("ff37c8ec-0787-448e-a331-051f2de62eb9")]
24 | 
25 | // Version information for an assembly consists of the following four values:
26 | //
27 | //      Major Version
28 | //      Minor Version 
29 | //      Build Number
30 | //      Revision
31 | //
32 | // You can specify all the values or you can default the Build and Revision Numbers 
33 | // by using the '*' as shown below:
34 | // [assembly: AssemblyVersion("1.0.*")]
35 | [assembly: AssemblyVersion("1.0.0.0")]
36 | [assembly: AssemblyFileVersion("1.0.0.0")]
37 | 


--------------------------------------------------------------------------------
/BackTesting.Model/MarketData/CsvDataSource.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.MarketData
 2 | {
 3 |     using System;
 4 |     using System.Collections.Generic;
 5 |     using System.IO;
 6 |     using BackTesting.Model.Utils;
 7 | 
 8 |     public class CsvDataSource 
 9 |     {
10 |         public IDictionary<string, IDictionary<DateTime, Bar>> Bars { get; }
11 | 
12 |         protected CsvDataSource()
13 |         {
14 |             this.Bars = new Dictionary<string, IDictionary<DateTime, Bar>>();
15 |         }
16 | 
17 |         public static CsvDataSource CreateFromFiles(string csvDirectory, string[] symbolList)
18 |         {
19 |             var res = new CsvDataSource();
20 | 
21 |             foreach (var symbol in symbolList)
22 |             {
23 |                 var csvPath = Path.Combine(csvDirectory, symbol + ".csv");
24 |                 res.AddOrReplaceBars(symbol, Csv2Frame.LoadBarsFromFile(csvPath));
25 |             }
26 | 
27 |             return res;
28 |         }
29 | 
30 |         public static CsvDataSource CreateFormStrings(IDictionary<string, string> csvData)
31 |         {
32 |             var res = new CsvDataSource();
33 | 
34 |             foreach (var kvp in csvData)
35 |             {
36 |                 res.AddOrReplaceBars(kvp.Key, Csv2Frame.LoadBarsFromString(kvp.Value));
37 |             }
38 | 
39 |             return res;
40 |         }
41 | 
42 |         private void AddOrReplaceBars(string symbol, IDictionary<DateTime, Bar> bars)
43 |         {
44 |             if (this.Bars.ContainsKey(symbol))
45 |             {
46 |                 this.Bars[symbol] = bars;
47 |             }
48 |             else
49 |             {
50 |                 this.Bars.Add(symbol, bars);
51 |             }
52 |         }
53 |     }
54 | }
55 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Utils/String2DateTime.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Utils
 2 | {
 3 |     using System;
 4 |     using System.Globalization;
 5 | 
 6 |     public static class String2DateTime
 7 |     {
 8 |         public static DateTime? Convert(string date, string time = null, string dateFormat = "yyyyMMdd", string timeFormat = "HHmmss")
 9 |         {
10 |             if (string.IsNullOrEmpty(date))
11 |             {
12 |                 return null;
13 |             }
14 | 
15 |             var dateTimeFormat = $"{dateFormat.Trim()} {timeFormat.Trim()}";
16 |             return string.IsNullOrEmpty(time) ? ConvertDate(date, dateFormat) : ConvertDateTime(date, time, dateTimeFormat);
17 |         }
18 | 
19 |         private static DateTime? ConvertDate(string date, string dateFormat)
20 |         {
21 |             DateTime res;
22 |             var isConverted = DateTime.TryParseExact(date, dateFormat, null, DateTimeStyles.None, out res);
23 |             return isConverted ? (DateTime?)res : null;
24 |         }
25 | 
26 |         private static DateTime? ConvertDateTime(string date, string time, string dateTimeFormat)
27 |         {
28 |             time = FixTimeStringIfZero(time);
29 |             var dateTime = $"{date.Trim()} {time.Trim()}";
30 |             DateTime res;
31 |             var isConverted = DateTime.TryParseExact(dateTime, dateTimeFormat, null, DateTimeStyles.None, out res);
32 |             return isConverted ? (DateTime?)res : null;
33 |         }
34 | 
35 |         private static string FixTimeStringIfZero(string time)
36 |         {
37 |             var isZeroTime = string.Compare(time.Trim(), "0", StringComparison.InvariantCultureIgnoreCase) == 0;
38 |             return isZeroTime ? "000000" : time;
39 |         }
40 |     }
41 | }
42 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Utils/Csv2Frame.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Utils
 2 | {
 3 |     using System;
 4 |     using System.Collections.Generic;
 5 |     using System.IO;
 6 |     using System.Text;
 7 |     using BackTesting.Model.MarketData;
 8 |     using CsvHelper;
 9 |     using CsvHelper.Configuration;
10 | 
11 |     public static class Csv2Frame
12 |     {
13 |         public static IDictionary<DateTime, Bar> LoadBarsFromFile(string filePath)
14 |         {
15 |             using (var textReader = new StreamReader(filePath))
16 |             {
17 |                 return LoadFormTextReader(textReader);
18 |             }
19 |         }
20 | 
21 |         public static IDictionary<DateTime, Bar> LoadBarsFromString(string csvString)
22 |         {
23 |             using (var ms = new MemoryStream(Encoding.Default.GetBytes(csvString)))
24 |             {
25 |                 using (var textReader = new StreamReader(ms))
26 |                 {
27 |                     return LoadFormTextReader(textReader);
28 |                 }
29 |             }
30 |         }
31 | 
32 |         public static IDictionary<DateTime, Bar> LoadFormTextReader(TextReader reader)
33 |         {
34 |             var res = new Dictionary<DateTime, Bar>();
35 |             var cfg = new CsvConfiguration();
36 |             cfg.RegisterClassMap<BarCsvMap>();
37 | 
38 |             var csv = new CsvReader(reader, cfg);
39 |             foreach (var bar in csv.GetRecords<Bar>())
40 |             {
41 |                 if (res.ContainsKey(bar.DateTime))
42 |                 {
43 |                     res[bar.DateTime] = bar;
44 |                 }
45 |                 else
46 |                 {
47 |                     res.Add(bar.DateTime, bar);
48 |                 }
49 |             }
50 | 
51 |             return res;
52 |         }
53 |     }
54 | }
55 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Strategies/BuyAndHoldStrategy.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Strategies
 2 | {
 3 |     using System.Collections.Generic;
 4 |     using System.Linq;
 5 |     using BackTesting.Model.DataHandlers;
 6 |     using BackTesting.Model.Events;
 7 | 
 8 |     public class BuyAndHoldStrategy : IStrategy
 9 |     {
10 |         private readonly IEventBus eventBus;
11 |         private readonly IDataHandler bars;
12 | 
13 |         private readonly IDictionary<string, bool> bought;
14 | 
15 |         public BuyAndHoldStrategy(IEventBus eventBus, IDataHandler dataHandler)
16 |         {
17 |             this.eventBus = eventBus;
18 |             this.bars = dataHandler;
19 |             this.bought = this.CalculateInitialBought();
20 |         }
21 | 
22 |         public void CalculateSignals()
23 |         {
24 |             if (!this.bars.CurrentTime.HasValue)
25 |             {
26 |                 // not started yet
27 |                 return;
28 |             }
29 | 
30 |             var currentTime = this.bars.CurrentTime.Value;
31 | 
32 |             foreach (var symbol in this.bars.Symbols)
33 |             {
34 |                 if (this.bought[symbol])
35 |                 {
36 |                     continue;
37 |                 }
38 | 
39 |                 var lastBar = this.bars.GetLast(symbol);
40 | 
41 |                 if (lastBar == null)
42 |                 {
43 |                     // No market data
44 |                     continue;
45 |                 }
46 | 
47 |                 this.bought[symbol] = true;
48 |                 this.eventBus.Put(new SignalEvent(symbol, currentTime, SignalType.Long));
49 |             }
50 |         }
51 | 
52 |         private IDictionary<string, bool> CalculateInitialBought()
53 |         {
54 |             return this.bars.Symbols.ToDictionary(symbol => symbol, symbol => false);
55 |         }
56 |     }
57 | }
58 | 


--------------------------------------------------------------------------------
/BackTesting.Tests/HistoricDataHandlerTests.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Tests
 2 | {
 3 |     using System;
 4 |     using BackTesting.Model.DataHandlers;
 5 |     using BackTesting.Model.Events;
 6 |     using BackTesting.Model.MarketData;
 7 |     using BackTesting.Model.Utils;
 8 |     using NUnit.Framework;
 9 | 
10 |     [TestFixture]
11 |     public class HistoricDataHandlerTests
12 |     {
13 |         [Test]
14 |         public void CanGetLastBarFromCsvMarketData()
15 |         {
16 |             var dataSource = CsvDataSource.CreateFormStrings(Mother.GenericCsvData);
17 |             var marketData = new ComposedMarketData(dataSource.Bars);
18 |             var eventBus = new QueuedEventBus();
19 | 
20 |             var handler = new HistoricDataHandler(eventBus, marketData);
21 | 
22 |             Console.WriteLine("Total rows = {0}", marketData.RowKeys.Count);
23 | 
24 |             var i = 0;
25 |             while (handler.ContinueBacktest)
26 |             {
27 |                 handler.Update();
28 |                 i++;
29 | 
30 |                 var sber = handler.GetLast(Symbols.Sber);
31 |                 var vtbr = handler.GetLast(Symbols.Vtbr);
32 | 
33 |                 Console.WriteLine($"Iteration {i}");
34 | 
35 |                 if (sber == null)
36 |                 {
37 |                     Console.WriteLine($"{handler.CurrentTime} => SBER is NULL");
38 |                 }
39 |                 else
40 |                 {
41 |                     sber.Print();
42 |                 }
43 |                 if (vtbr == null)
44 |                 {
45 |                     Console.WriteLine($"{handler.CurrentTime} => VTBR is NULL");
46 |                 }
47 |                 else
48 |                 {
49 |                     vtbr.Print();
50 |                 }
51 |                 Console.WriteLine("------------------");
52 |             }
53 |         }
54 |     }
55 | }
56 | 


--------------------------------------------------------------------------------
/BackTesting.Tests/ComposedMarketDataTests.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Tests
 2 | {
 3 |     using System;
 4 |     using System.Linq;
 5 |     using BackTesting.Model.MarketData;
 6 |     using NUnit.Framework;
 7 | 
 8 |     [TestFixture]
 9 |     public class ComposedMarketDataTests
10 |     {
11 |         [Test]
12 |         public void ComposedMarketDataLoadedFromStringsHasValidRowKeys()
13 |         {
14 |             var dataSource = CsvDataSource.CreateFormStrings(Mother.UnsortedRowsCsvData);
15 |             var mdata = new ComposedMarketData(dataSource.Bars);
16 |             var rowKeys = mdata.RowKeys;
17 | 
18 |             foreach (var dateTime in rowKeys)
19 |             {
20 |                 Console.WriteLine("key={0}", dateTime);
21 |             }
22 | 
23 |             DateTime? prev = null;
24 |             foreach (var dateTime in rowKeys)
25 |             {
26 |                 if (prev == null)
27 |                 {
28 |                     prev = dateTime;
29 |                     continue;
30 |                 }
31 | 
32 |                 Assert.IsTrue(prev <= dateTime);
33 |             }
34 |         }
35 | 
36 |         [Test]
37 |         public void ComposedMarketDataLoadedFromStringsIsValid()
38 |         {
39 |             var dataSource = CsvDataSource.CreateFormStrings(Mother.UnsortedRowsCsvData);
40 |             var mdata = new ComposedMarketData(dataSource.Bars);
41 | 
42 |             Assert.IsNotNull(mdata.Bars);
43 |             Assert.IsTrue(mdata.RowKeys.Count > 0);
44 |             Assert.IsTrue(mdata.Symbols.Count == 2);
45 |             Assert.Contains(Symbols.Sber, mdata.Symbols.ToList());
46 |             Assert.Contains(Symbols.Vtbr, mdata.Symbols.ToList());
47 | 
48 |             var sberBars = mdata.Bars[Symbols.Sber];
49 | 
50 |             foreach (var bar in sberBars.Values)
51 |             {
52 |                 Console.WriteLine(bar);
53 |             }
54 |         }
55 |     }
56 | }
57 | 


--------------------------------------------------------------------------------
/ConsoleApp/Program.cs:
--------------------------------------------------------------------------------
 1 | namespace ConsoleApp
 2 | {
 3 |     using System;
 4 |     using BackTesting.Model.BackTests;
 5 |     using BackTesting.Model.DataHandlers;
 6 |     using BackTesting.Model.Events;
 7 |     using BackTesting.Model.ExecutionHandlers;
 8 |     using BackTesting.Model.MarketData;
 9 |     using BackTesting.Model.Portfolio;
10 |     using BackTesting.Model.Strategies;
11 | 
12 |     class Program
13 |     {
14 |         private const int CONST_ScreenWidth = 150;
15 |         private const int CONST_ScreenHeight = 40;
16 |         private const int CONST_BufferHeight = CONST_ScreenHeight * 10;
17 | 
18 |         static void Main(string[] args)
19 |         {
20 |             Console.WriteLine("BackTest starting...");
21 | 
22 |             SetupScreen();
23 |             DoMainBackTest();
24 | 
25 |             Console.WriteLine("\nBackTest has been finished. Press ENTER to exit.");
26 |             Console.ReadLine();
27 |         }
28 | 
29 |         private static void DoMainBackTest()
30 |         {
31 |             var eventBus = new QueuedEventBus();
32 |             var dataSource = CsvDataSource.CreateFromFiles("Data\\Min1", new[] { Symbols.Sber, Symbols.Vtbr });
33 |             var marketData = new ComposedMarketData(dataSource.Bars);
34 |             var bars = new HistoricDataHandler(eventBus, marketData);
35 |             var strategy = new BuyAndHoldStrategy(eventBus, bars);
36 |             var executionHandler = new SimulatedExecutionHandler(eventBus, bars);
37 |             var portfolio = new NaivePortfolio(eventBus, bars, 10000m);
38 |             var backTest = new BackTest(eventBus, bars, strategy, portfolio, executionHandler);
39 | 
40 |             backTest.SimulateTrading();
41 |         }
42 | 
43 |         private static void SetupScreen()
44 |         {
45 |             Console.WindowWidth = CONST_ScreenWidth;
46 |             Console.BufferWidth = CONST_ScreenWidth;
47 | 
48 |             Console.WindowHeight = CONST_ScreenHeight;
49 |             Console.BufferHeight = CONST_BufferHeight;
50 |         }
51 |     }
52 | }
53 | 


--------------------------------------------------------------------------------
/EventDrivenBacktesting.sln:
--------------------------------------------------------------------------------
 1 | 
 2 | Microsoft Visual Studio Solution File, Format Version 12.00
 3 | # Visual Studio 14
 4 | VisualStudioVersion = 14.0.23107.0
 5 | MinimumVisualStudioVersion = 10.0.40219.1
 6 | Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "ConsoleApp", "ConsoleApp\ConsoleApp.csproj", "{4380B3F7-7731-4190-A978-2175F6FA48A5}"
 7 | EndProject
 8 | Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "BackTesting.Model", "BackTesting.Model\BackTesting.Model.csproj", "{7D064605-0729-433E-9EAD-FD4C91ED0F59}"
 9 | EndProject
10 | Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "BackTesting.Tests", "BackTesting.Tests\BackTesting.Tests.csproj", "{FF37C8EC-0787-448E-A331-051F2DE62EB9}"
11 | EndProject
12 | Global
13 | 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
14 | 		Debug|Any CPU = Debug|Any CPU
15 | 		Release|Any CPU = Release|Any CPU
16 | 	EndGlobalSection
17 | 	GlobalSection(ProjectConfigurationPlatforms) = postSolution
18 | 		{4380B3F7-7731-4190-A978-2175F6FA48A5}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
19 | 		{4380B3F7-7731-4190-A978-2175F6FA48A5}.Debug|Any CPU.Build.0 = Debug|Any CPU
20 | 		{4380B3F7-7731-4190-A978-2175F6FA48A5}.Release|Any CPU.ActiveCfg = Release|Any CPU
21 | 		{4380B3F7-7731-4190-A978-2175F6FA48A5}.Release|Any CPU.Build.0 = Release|Any CPU
22 | 		{7D064605-0729-433E-9EAD-FD4C91ED0F59}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
23 | 		{7D064605-0729-433E-9EAD-FD4C91ED0F59}.Debug|Any CPU.Build.0 = Debug|Any CPU
24 | 		{7D064605-0729-433E-9EAD-FD4C91ED0F59}.Release|Any CPU.ActiveCfg = Release|Any CPU
25 | 		{7D064605-0729-433E-9EAD-FD4C91ED0F59}.Release|Any CPU.Build.0 = Release|Any CPU
26 | 		{FF37C8EC-0787-448E-A331-051F2DE62EB9}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
27 | 		{FF37C8EC-0787-448E-A331-051F2DE62EB9}.Debug|Any CPU.Build.0 = Debug|Any CPU
28 | 		{FF37C8EC-0787-448E-A331-051F2DE62EB9}.Release|Any CPU.ActiveCfg = Release|Any CPU
29 | 		{FF37C8EC-0787-448E-A331-051F2DE62EB9}.Release|Any CPU.Build.0 = Release|Any CPU
30 | 	EndGlobalSection
31 | 	GlobalSection(SolutionProperties) = preSolution
32 | 		HideSolutionNode = FALSE
33 | 	EndGlobalSection
34 | EndGlobal
35 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Events/FillEvent.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.Events
 2 | {
 3 |     using System;
 4 | 
 5 |     public class FillEvent : Event
 6 |     {
 7 |         public override EventType EventType => EventType.Fill;
 8 | 
 9 |         public DateTime TimeIndex { get; private set; }
10 |         public string Symbol { get; private set; }
11 |         public string Exchange { get; private set; }
12 |         public int Quantity { get; private set; }
13 |         public TransactionDirection Direction { get; private set; }
14 |         public decimal FillCost { get; private set; }
15 |         public decimal Comission { get; private set; }
16 | 
17 |         public FillEvent(DateTime timeIndex, string symbol, string exchange, int quantity, TransactionDirection direction, decimal fillCost, decimal comission = decimal.Zero)
18 |         {
19 |             this.TimeIndex = timeIndex;
20 |             this.Symbol = symbol;
21 |             this.Exchange = exchange;
22 |             this.Quantity = quantity;
23 |             this.Direction = direction;
24 |             this.FillCost = fillCost;
25 |             this.Comission = comission == decimal.Zero ? this.CalculateIbComission() : comission;
26 |         }
27 | 
28 |         /// <summary>
29 |         /// Calculates the fees of trading based on an Interactive Brokers fee structure for API, in USD. 
30 |         /// This does not include exchange or ECN fees.
31 |         /// Based on "US API Directed Orders": https://www.interactivebrokers.com/en/index.php?f=commission&p=stocks2
32 |         /// </summary>
33 |         /// <returns></returns>
34 |         private decimal CalculateIbComission()
35 |         {
36 |             var fullCost = this.Quantity <= 500 ? Math.Max(1.3m, 0.013m * this.Quantity) : Math.Max(1.3m, 0.008m * this.Quantity);
37 |             return Math.Min(fullCost, (0.5m/100.0m * this.Quantity * this.FillCost));
38 |         }
39 | 
40 |         public override string ToString()
41 |         {
42 |             return string.Format($"Fill: {this.TimeIndex} {this.Exchange} {this.Symbol} {this.Direction} Qty={this.Quantity} FillCost={this.FillCost} Comission={this.Comission}");
43 |         }
44 |     }
45 | }
46 | 


--------------------------------------------------------------------------------
/BackTesting.Model/DataHandlers/HistoricDataHandler.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Model.DataHandlers
 2 | {
 3 |     using System;
 4 |     using System.Collections.Generic;
 5 |     using System.Linq;
 6 |     using BackTesting.Model.MarketData;
 7 |     using Events;
 8 | 
 9 |     public class HistoricDataHandler : IDataHandler
10 |     {
11 |         private readonly IEventBus eventBus;
12 |         private readonly IMarketData marketData;
13 |         private readonly IEnumerator<DateTime> timeEnumerator;
14 | 
15 |         public DateTime? CurrentTime { get; private set; }
16 |         public bool ContinueBacktest { get; private set; }
17 | 
18 |         public ICollection<string> Symbols => this.marketData.Symbols;
19 | 
20 |         public HistoricDataHandler(IEventBus eventBus, IMarketData marketData)
21 |         {
22 |             this.eventBus = eventBus;
23 |             this.marketData = marketData;
24 |             this.ContinueBacktest = true;
25 |             this.timeEnumerator = this.marketData.RowKeys.GetEnumerator();
26 |             this.CurrentTime = null;
27 |         }
28 | 
29 |         public Bar GetLast(string symbol)
30 |         {
31 |             var bars = this.marketData.Bars[symbol];
32 | 
33 |             if (bars == null)
34 |             {
35 |                 return null;
36 |             }
37 | 
38 |             if (!this.CurrentTime.HasValue)
39 |             {
40 |                 return null;
41 |             }
42 | 
43 |             var dateTime = this.CurrentTime.Value;
44 | 
45 |             if (bars.ContainsKey(dateTime))
46 |             {
47 |                 return bars[dateTime];
48 |             }
49 | 
50 |             var smallerDate = bars.Keys.OrderByDescending(k => k).FirstOrDefault(key => key <= dateTime);
51 | 
52 |             return bars.ContainsKey(smallerDate) ? bars[smallerDate] : null;
53 |         }
54 | 
55 |         public decimal? GetLastClosePrice(string symbol)
56 |         {
57 |             return this.GetLast(symbol)?.Close;
58 |         }
59 | 
60 |         public void Update()
61 |         {
62 |             if (!this.ContinueBacktest)
63 |             {
64 |                 return;
65 |             }
66 | 
67 |             this.CurrentTime = this.GetNextTime();
68 | 
69 |             if (this.CurrentTime.HasValue)
70 |             {
71 |                 this.eventBus.Put(new MarketEvent(this.CurrentTime.Value));
72 |             }
73 |             else
74 |             {
75 |                 this.ContinueBacktest = false;
76 |             }
77 |         }
78 | 
79 |         private DateTime? GetNextTime()
80 |         {
81 |             var moved = this.timeEnumerator.MoveNext();
82 |             return moved ? this.timeEnumerator.Current : (DateTime?)null;
83 |         }
84 |     }
85 | }
86 | 


--------------------------------------------------------------------------------
/.gitattributes:
--------------------------------------------------------------------------------
 1 | ###############################################################################
 2 | # Set default behavior to automatically normalize line endings.
 3 | ###############################################################################
 4 | * text=auto
 5 | 
 6 | ###############################################################################
 7 | # Set default behavior for command prompt diff.
 8 | #
 9 | # This is need for earlier builds of msysgit that does not have it on by
10 | # default for csharp files.
11 | # Note: This is only used by command line
12 | ###############################################################################
13 | #*.cs     diff=csharp
14 | 
15 | ###############################################################################
16 | # Set the merge driver for project and solution files
17 | #
18 | # Merging from the command prompt will add diff markers to the files if there
19 | # are conflicts (Merging from VS is not affected by the settings below, in VS
20 | # the diff markers are never inserted). Diff markers may cause the following 
21 | # file extensions to fail to load in VS. An alternative would be to treat
22 | # these files as binary and thus will always conflict and require user
23 | # intervention with every merge. To do so, just uncomment the entries below
24 | ###############################################################################
25 | #*.sln       merge=binary
26 | #*.csproj    merge=binary
27 | #*.vbproj    merge=binary
28 | #*.vcxproj   merge=binary
29 | #*.vcproj    merge=binary
30 | #*.dbproj    merge=binary
31 | #*.fsproj    merge=binary
32 | #*.lsproj    merge=binary
33 | #*.wixproj   merge=binary
34 | #*.modelproj merge=binary
35 | #*.sqlproj   merge=binary
36 | #*.wwaproj   merge=binary
37 | 
38 | ###############################################################################
39 | # behavior for image files
40 | #
41 | # image files are treated as binary by default.
42 | ###############################################################################
43 | #*.jpg   binary
44 | #*.png   binary
45 | #*.gif   binary
46 | 
47 | ###############################################################################
48 | # diff behavior for common document formats
49 | # 
50 | # Convert binary document formats to text before diffing them. This feature
51 | # is only available from the command line. Turn it on by uncommenting the 
52 | # entries below.
53 | ###############################################################################
54 | #*.doc   diff=astextplain
55 | #*.DOC   diff=astextplain
56 | #*.docx  diff=astextplain
57 | #*.DOCX  diff=astextplain
58 | #*.dot   diff=astextplain
59 | #*.DOT   diff=astextplain
60 | #*.pdf   diff=astextplain
61 | #*.PDF   diff=astextplain
62 | #*.rtf   diff=astextplain
63 | #*.RTF   diff=astextplain
64 | 


--------------------------------------------------------------------------------
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 2 | <Project ToolsVersion="14.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
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 5 |     <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
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27 |     <OutputPath>bin\Release\</OutputPath>
28 |     <DefineConstants>TRACE</DefineConstants>
29 |     <ErrorReport>prompt</ErrorReport>
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35 |       <Private>True</Private>
36 |     </Reference>
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39 |   <ItemGroup>
40 |     <Compile Include="ComposedMarketDataTests.cs" />
41 |     <Compile Include="Csv2FrameTests.cs" />
42 |     <Compile Include="CsvDataSourceTests.cs" />
43 |     <Compile Include="HistoricDataHandlerTests.cs" />
44 |     <Compile Include="Mother.cs" />
45 |     <Compile Include="String2DateTimeTests.cs" />
46 |     <Compile Include="Properties\AssemblyInfo.cs" />
47 |   </ItemGroup>
48 |   <ItemGroup>
49 |     <None Include="packages.config" />
50 |   </ItemGroup>
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52 |     <ProjectReference Include="..\BackTesting.Model\BackTesting.Model.csproj">
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54 |       <Name>BackTesting.Model</Name>
55 |     </ProjectReference>
56 |   </ItemGroup>
57 |   <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
58 |   <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
59 |        Other similar extension points exist, see Microsoft.Common.targets.
60 |   <Target Name="BeforeBuild">
61 |   </Target>
62 |   <Target Name="AfterBuild">
63 |   </Target>
64 |   -->
65 | </Project>


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/ConsoleApp/Data/Day/vtbr.csv:
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 1 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
 2 | VTBR,D,20151102,000000,0.0720700,0.0730000,0.0716000,0.0725000,8184040000
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44 | 


--------------------------------------------------------------------------------
/ConsoleApp/Data/Day/sber.csv:
--------------------------------------------------------------------------------
 1 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
 2 | SBER,D,20151102,000000,90.2500000,93.8000000,89.6600000,93.6500000,124983010
 3 | SBER,D,20151103,000000,93.8600000,95.5900000,93.3200000,95.4000000,122392690
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 8 | SBER,D,20151111,000000,94.2000000,94.8600000,92.6500000,94.0000000,77455220
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11 | SBER,D,20151116,000000,93.0900000,96.1400000,93.0100000,95.8000000,88002030
12 | SBER,D,20151117,000000,96.5200000,102.6700000,96.5200000,102.5000000,180740130
13 | SBER,D,20151118,000000,102.7800000,104.5900000,101.7400000,104.0000000,136465200
14 | SBER,D,20151119,000000,104.6300000,108.5500000,102.5400000,104.8600000,190977640
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18 | SBER,D,20151125,000000,106.2100000,108.9400000,105.4400000,108.5100000,119438820
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27 | SBER,D,20151208,000000,102.8100000,103.0800000,96.9500000,97.0000000,159192320
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30 | SBER,D,20151211,000000,99.8800000,100.5900000,97.7600000,98.1500000,90910000
31 | SBER,D,20151214,000000,97.6000000,98.3700000,96.2300000,97.7000000,101803240
32 | SBER,D,20151215,000000,98.3600000,100.7900000,98.2400000,100.0000000,87414990
33 | SBER,D,20151216,000000,100.2600000,102.5000000,100.0700000,102.4500000,70519150
34 | SBER,D,20151217,000000,102.8500000,105.1800000,102.5500000,103.7500000,120045750
35 | SBER,D,20151218,000000,103.0500000,103.1800000,98.8000000,98.8100000,108739650
36 | SBER,D,20151221,000000,98.9400000,100.8000000,97.6500000,98.7300000,81350840
37 | SBER,D,20151222,000000,99.5000000,100.4000000,99.1000000,99.8000000,48754440
38 | SBER,D,20151223,000000,100.1500000,102.9600000,100.1300000,102.9600000,72242830
39 | SBER,D,20151224,000000,103.7000000,103.8900000,100.4000000,101.3500000,72100810
40 | SBER,D,20151225,000000,101.8300000,102.3200000,100.7800000,101.3400000,26162460
41 | SBER,D,20151228,000000,101.2500000,101.5400000,99.4600000,100.2000000,36917760
42 | SBER,D,20151229,000000,100.4200000,102.5000000,99.7400000,101.8200000,72668060
43 | SBER,D,20151230,000000,101.6700000,101.8500000,100.4700000,101.2600000,38859760
44 | 


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 2 | <Project ToolsVersion="14.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
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 4 |   <PropertyGroup>
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11 |     <AssemblyName>BackTesting.Model</AssemblyName>
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13 |     <FileAlignment>512</FileAlignment>
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17 |     <DebugType>full</DebugType>
18 |     <Optimize>false</Optimize>
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21 |     <ErrorReport>prompt</ErrorReport>
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24 |   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
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26 |     <Optimize>true</Optimize>
27 |     <OutputPath>bin\Release\</OutputPath>
28 |     <DefineConstants>TRACE</DefineConstants>
29 |     <ErrorReport>prompt</ErrorReport>
30 |     <WarningLevel>4</WarningLevel>
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35 |       <Private>True</Private>
36 |     </Reference>
37 |     <Reference Include="System" />
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40 |     <Compile Include="BackTests\BackTest.cs" />
41 |     <Compile Include="DataHandlers\IDataHandler.cs" />
42 |     <Compile Include="DataHandlers\HistoricDataHandler.cs" />
43 |     <Compile Include="MarketData\Bar.cs" />
44 |     <Compile Include="MarketData\ComposedMarketData.cs" />
45 |     <Compile Include="MarketData\CsvDataSource.cs" />
46 |     <Compile Include="MarketData\BarCsvMap.cs" />
47 |     <Compile Include="MarketData\IMarketData.cs" />
48 |     <Compile Include="Events\Event.cs" />
49 |     <Compile Include="Enums\EventType.cs" />
50 |     <Compile Include="Events\FillEvent.cs" />
51 |     <Compile Include="Events\IEventBus.cs" />
52 |     <Compile Include="Events\MarketEvent.cs" />
53 |     <Compile Include="Enums\TransactionDirection.cs" />
54 |     <Compile Include="Events\OrderEvent.cs" />
55 |     <Compile Include="Enums\OrderType.cs" />
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57 |     <Compile Include="Events\SignalEvent.cs" />
58 |     <Compile Include="Enums\SignalType.cs" />
59 |     <Compile Include="ExecutionHandlers\IExecutionHandler.cs" />
60 |     <Compile Include="ExecutionHandlers\SimulatedExecutionHandler.cs" />
61 |     <Compile Include="MarketData\Symbols.cs" />
62 |     <Compile Include="Portfolio\Holding.cs" />
63 |     <Compile Include="Portfolio\NaivePortfolio.cs" />
64 |     <Compile Include="Portfolio\IPortfolio.cs" />
65 |     <Compile Include="Properties\AssemblyInfo.cs" />
66 |     <Compile Include="Strategies\BuyAndHoldStrategy.cs" />
67 |     <Compile Include="Strategies\IStrategy.cs" />
68 |     <Compile Include="Utils\Csv2Frame.cs" />
69 |     <Compile Include="Utils\Extensions.cs" />
70 |     <Compile Include="Utils\String2DateTime.cs" />
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72 |   <ItemGroup>
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78 |        Other similar extension points exist, see Microsoft.Common.targets.
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81 |   <Target Name="AfterBuild">
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 1 | <?xml version="1.0" encoding="utf-8"?>
 2 | <Project ToolsVersion="14.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
 3 |   <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
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 8 |     <OutputType>Exe</OutputType>
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10 |     <RootNamespace>ConsoleApp</RootNamespace>
11 |     <AssemblyName>ConsoleApp</AssemblyName>
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19 |     <DebugType>full</DebugType>
20 |     <Optimize>false</Optimize>
21 |     <OutputPath>bin\Debug\</OutputPath>
22 |     <DefineConstants>DEBUG;TRACE</DefineConstants>
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24 |     <WarningLevel>4</WarningLevel>
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26 |   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
27 |     <PlatformTarget>AnyCPU</PlatformTarget>
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29 |     <Optimize>true</Optimize>
30 |     <OutputPath>bin\Release\</OutputPath>
31 |     <DefineConstants>TRACE</DefineConstants>
32 |     <ErrorReport>prompt</ErrorReport>
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38 |       <Private>True</Private>
39 |     </Reference>
40 |     <Reference Include="System" />
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42 |   <ItemGroup>
43 |     <Compile Include="Program.cs" />
44 |     <Compile Include="Properties\AssemblyInfo.cs" />
45 |   </ItemGroup>
46 |   <ItemGroup>
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52 |       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
53 |     </None>
54 |     <None Include="Data\Day\vtbr.csv">
55 |       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
56 |     </None>
57 |     <None Include="Data\Hour\sber.csv">
58 |       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
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60 |     <None Include="Data\Hour\vtbr.csv">
61 |       <CopyToOutputDirectory>PreserveNewest</CopyToOutputDirectory>
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77 |   <ItemGroup>
78 |     <ProjectReference Include="..\BackTesting.Model\BackTesting.Model.csproj">
79 |       <Project>{7d064605-0729-433e-9ead-fd4c91ed0f59}</Project>
80 |       <Name>BackTesting.Model</Name>
81 |     </ProjectReference>
82 |   </ItemGroup>
83 |   <ItemGroup />
84 |   <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
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86 |        Other similar extension points exist, see Microsoft.Common.targets.
87 |   <Target Name="BeforeBuild">
88 |   </Target>
89 |   <Target Name="AfterBuild">
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/.gitignore:
--------------------------------------------------------------------------------
  1 | ## Ignore Visual Studio temporary files, build results, and
  2 | ## files generated by popular Visual Studio add-ons.
  3 | 
  4 | # User-specific files
  5 | *.suo
  6 | *.user
  7 | *.userosscache
  8 | *.sln.docstates
  9 | 
 10 | # User-specific files (MonoDevelop/Xamarin Studio)
 11 | *.userprefs
 12 | 
 13 | # Build results
 14 | [Dd]ebug/
 15 | [Dd]ebugPublic/
 16 | [Rr]elease/
 17 | [Rr]eleases/
 18 | x64/
 19 | x86/
 20 | build/
 21 | bld/
 22 | [Bb]in/
 23 | [Oo]bj/
 24 | 
 25 | # Visual Studio 2015 cache/options directory
 26 | .vs/
 27 | # Uncomment if you have tasks that create the project's static files in wwwroot
 28 | #wwwroot/
 29 | 
 30 | # MSTest test Results
 31 | [Tt]est[Rr]esult*/
 32 | [Bb]uild[Ll]og.*
 33 | 
 34 | # NUNIT
 35 | *.VisualState.xml
 36 | TestResult.xml
 37 | 
 38 | # Build Results of an ATL Project
 39 | [Dd]ebugPS/
 40 | [Rr]eleasePS/
 41 | dlldata.c
 42 | 
 43 | # DNX
 44 | project.lock.json
 45 | artifacts/
 46 | 
 47 | *_i.c
 48 | *_p.c
 49 | *_i.h
 50 | *.ilk
 51 | *.meta
 52 | *.obj
 53 | *.pch
 54 | *.pdb
 55 | *.pgc
 56 | *.pgd
 57 | *.rsp
 58 | *.sbr
 59 | *.tlb
 60 | *.tli
 61 | *.tlh
 62 | *.tmp
 63 | *.tmp_proj
 64 | *.log
 65 | *.vspscc
 66 | *.vssscc
 67 | .builds
 68 | *.pidb
 69 | *.svclog
 70 | *.scc
 71 | 
 72 | # Chutzpah Test files
 73 | _Chutzpah*
 74 | 
 75 | # Visual C++ cache files
 76 | ipch/
 77 | *.aps
 78 | *.ncb
 79 | *.opendb
 80 | *.opensdf
 81 | *.sdf
 82 | *.cachefile
 83 | 
 84 | # Visual Studio profiler
 85 | *.psess
 86 | *.vsp
 87 | *.vspx
 88 | *.sap
 89 | 
 90 | # TFS 2012 Local Workspace
 91 | $tf/
 92 | 
 93 | # Guidance Automation Toolkit
 94 | *.gpState
 95 | 
 96 | # ReSharper is a .NET coding add-in
 97 | _ReSharper*/
 98 | *.[Rr]e[Ss]harper
 99 | *.DotSettings.user
100 | 
101 | # JustCode is a .NET coding add-in
102 | .JustCode
103 | 
104 | # TeamCity is a build add-in
105 | _TeamCity*
106 | 
107 | # DotCover is a Code Coverage Tool
108 | *.dotCover
109 | 
110 | # NCrunch
111 | _NCrunch_*
112 | .*crunch*.local.xml
113 | nCrunchTemp_*
114 | 
115 | # MightyMoose
116 | *.mm.*
117 | AutoTest.Net/
118 | 
119 | # Web workbench (sass)
120 | .sass-cache/
121 | 
122 | # Installshield output folder
123 | [Ee]xpress/
124 | 
125 | # DocProject is a documentation generator add-in
126 | DocProject/buildhelp/
127 | DocProject/Help/*.HxT
128 | DocProject/Help/*.HxC
129 | DocProject/Help/*.hhc
130 | DocProject/Help/*.hhk
131 | DocProject/Help/*.hhp
132 | DocProject/Help/Html2
133 | DocProject/Help/html
134 | 
135 | # Click-Once directory
136 | publish/
137 | 
138 | # Publish Web Output
139 | *.[Pp]ublish.xml
140 | *.azurePubxml
141 | # TODO: Comment the next line if you want to checkin your web deploy settings 
142 | # but database connection strings (with potential passwords) will be unencrypted
143 | *.pubxml
144 | *.publishproj
145 | 
146 | # NuGet Packages
147 | *.nupkg
148 | # The packages folder can be ignored because of Package Restore
149 | **/packages/*
150 | # except build/, which is used as an MSBuild target.
151 | !**/packages/build/
152 | # Uncomment if necessary however generally it will be regenerated when needed
153 | #!**/packages/repositories.config
154 | 
155 | # Windows Azure Build Output
156 | csx/
157 | *.build.csdef
158 | 
159 | # Windows Azure Emulator
160 | ecf/
161 | rcf/
162 | 
163 | # Windows Store app package directory
164 | AppPackages/
165 | 
166 | # Visual Studio cache files
167 | # files ending in .cache can be ignored
168 | *.[Cc]ache
169 | # but keep track of directories ending in .cache
170 | !*.[Cc]ache/
171 | 
172 | # Others
173 | ClientBin/
174 | [Ss]tyle[Cc]op.*
175 | ~$*
176 | *~
177 | *.dbmdl
178 | *.dbproj.schemaview
179 | *.pfx
180 | *.publishsettings
181 | node_modules/
182 | orleans.codegen.cs
183 | 
184 | # RIA/Silverlight projects
185 | Generated_Code/
186 | 
187 | # Backup & report files from converting an old project file
188 | # to a newer Visual Studio version. Backup files are not needed,
189 | # because we have git ;-)
190 | _UpgradeReport_Files/
191 | Backup*/
192 | UpgradeLog*.XML
193 | UpgradeLog*.htm
194 | 
195 | # SQL Server files
196 | *.mdf
197 | *.ldf
198 | 
199 | # Business Intelligence projects
200 | *.rdl.data
201 | *.bim.layout
202 | *.bim_*.settings
203 | 
204 | # Microsoft Fakes
205 | FakesAssemblies/
206 | 
207 | # GhostDoc plugin setting file
208 | *.GhostDoc.xml
209 | 
210 | # Node.js Tools for Visual Studio
211 | .ntvs_analysis.dat
212 | 
213 | # Visual Studio 6 build log
214 | *.plg
215 | 
216 | # Visual Studio 6 workspace options file
217 | *.opt
218 | 
219 | # Visual Studio LightSwitch build output
220 | **/*.HTMLClient/GeneratedArtifacts
221 | **/*.DesktopClient/GeneratedArtifacts
222 | **/*.DesktopClient/ModelManifest.xml
223 | **/*.Server/GeneratedArtifacts
224 | **/*.Server/ModelManifest.xml
225 | _Pvt_Extensions
226 | 
227 | # Paket dependency manager
228 | .paket/paket.exe
229 | 
230 | # FAKE - F# Make
231 | .fake/
232 | 
233 | 


--------------------------------------------------------------------------------
/BackTesting.Tests/Mother.cs:
--------------------------------------------------------------------------------
 1 | namespace BackTesting.Tests
 2 | {
 3 |     using System.Collections.Generic;
 4 |     using BackTesting.Model.MarketData;
 5 | 
 6 |     public static class Mother
 7 |     {
 8 |         public static readonly IDictionary<string, string> DailyCsvData = new Dictionary<string, string>()
 9 |         {
10 |             {Symbols.Sber, @"
11 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
12 | SBER,D,20151102,000000,90.2500000,93.8000000,89.6600000,93.6500000,124983010
13 | SBER,D,20151103,000000,93.8600000,95.5900000,93.3200000,95.4000000,122392690
14 | SBER,D,20151105,000000,96.0000000,96.6000000,94.6000000,95.5000000,126679170
15 | SBER,D,20151106,000000,95.5000000,95.9100000,93.5700000,94.0900000,106562480
16 | SBER,D,20151109,000000,94.4900000,94.7900000,92.7000000,92.9500000,78965580
17 | SBER,D,20151110,000000,92.7600000,94.4200000,92.0200000,94.3500000,71406950
18 | SBER,D,20151111,000000,94.2000000,94.8600000,92.6500000,94.0000000,77455220
19 | SBER,D,20151112,000000,93.4300000,94.7700000,92.6900000,94.2900000,79120920
20 | SBER,D,20151113,000000,93.4200000,94.3900000,92.9600000,93.4000000,78881520
21 | SBER,D,20151116,000000,93.0900000,96.1400000,93.0100000,95.8000000,88002030
22 | SBER,D,20151117,000000,96.5200000,102.6700000,96.5200000,102.5000000,180740130
23 | "}
24 |         };
25 | 
26 |         public static readonly IDictionary<string, string> UnsortedRowsCsvData = new Dictionary<string, string>()
27 |         {
28 |             {Symbols.Sber, @"
29 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
30 | SBER,1,20151123,100100,106.8500000,106.8600000,106.1400000,106.2900000,655780
31 | SBER,1,20151123,100800,106.2900000,106.5200000,106.2400000,106.4000000,384210
32 | SBER,1,20151123,100200,106.2700000,106.3300000,106.1400000,106.2600000,548880
33 | SBER,1,20151123,100300,106.2600000,106.2600000,105.9300000,106.0500000,1028870
34 | SBER,1,20151123,100400,106.1100000,106.3000000,106.0500000,106.2800000,371940
35 | SBER,1,20151123,100500,106.2600000,106.2800000,106.1300000,106.2200000,478220
36 | SBER,1,20151123,100900,106.3900000,106.4500000,106.3000000,106.4500000,218000
37 | SBER,1,20151123,100600,106.2100000,106.2300000,106.0200000,106.1100000,281740
38 | SBER,1,20151123,100700,106.1500000,106.3000000,106.0500000,106.2600000,138440
39 | SBER,1,20151123,101000,106.4700000,106.4700000,106.3400000,106.4100000,122320
40 | "},
41 |             {Symbols.Vtbr, @"
42 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
43 | VTBR,1,20151120,184800,0.0760100,0.0760100,0.0760100,0.0760100,5570000
44 | VTBR,1,20151120,184900,0.0760100,0.0760100,0.0760100,0.0760100,3040000
45 | VTBR,1,20151123,100100,0.0761800,0.0762700,0.0758700,0.0759100,43670000
46 | VTBR,1,20151123,100200,0.0759100,0.0760300,0.0758200,0.0759800,18330000
47 | VTBR,1,20151123,100300,0.0758600,0.0759700,0.0758000,0.0758100,38320000
48 | VTBR,1,20151123,100400,0.0758100,0.0758500,0.0758000,0.0758400,5660000
49 | VTBR,1,20151123,100500,0.0758400,0.0760000,0.0756200,0.0758000,54390000
50 | VTBR,1,20151123,100600,0.0758000,0.0758700,0.0757300,0.0758000,14570000
51 | VTBR,1,20151123,100700,0.0758600,0.0758800,0.0758000,0.0758800,1720000
52 | VTBR,1,20151123,100800,0.0758800,0.0758800,0.0758400,0.0758400,2440000
53 | VTBR,1,20151123,100900,0.0758100,0.0758900,0.0758000,0.0758100,13090000
54 | VTBR,1,20151123,101000,0.0758100,0.0758800,0.0758100,0.0758100,4410000
55 | "}
56 |         };
57 | 
58 |         public static readonly IDictionary<string, string> GenericCsvData = new Dictionary<string, string>() {
59 |                 {Symbols.Sber, @"
60 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
61 | SBER,1,20151123,100100,106.8500000,106.8600000,106.1400000,106.2900000,655780
62 | SBER,1,20151123,100200,106.2700000,106.3300000,106.1400000,106.2600000,548880
63 | SBER,1,20151123,100300,106.2600000,106.2600000,105.9300000,106.0500000,1028870
64 | SBER,1,20151123,100400,106.1100000,106.3000000,106.0500000,106.2800000,371940
65 | SBER,1,20151123,100500,106.2600000,106.2800000,106.1300000,106.2200000,478220
66 | SBER,1,20151123,100600,106.2100000,106.2300000,106.0200000,106.1100000,281740
67 | SBER,1,20151123,100700,106.1500000,106.3000000,106.0500000,106.2600000,138440
68 | SBER,1,20151123,100800,106.2900000,106.5200000,106.2400000,106.4000000,384210
69 | SBER,1,20151123,100900,106.3900000,106.4500000,106.3000000,106.4500000,218000
70 | SBER,1,20151123,101000,106.4700000,106.4700000,106.3400000,106.4100000,122320
71 | "},
72 |                 {Symbols.Vtbr, @"
73 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
74 | VTBR,1,20151120,184800,0.0760100,0.0760100,0.0760100,0.0760100,5570000
75 | VTBR,1,20151120,184900,0.0760100,0.0760100,0.0760100,0.0760100,3040000
76 | VTBR,1,20151123,100100,0.0761800,0.0762700,0.0758700,0.0759100,43670000
77 | VTBR,1,20151123,100200,0.0759100,0.0760300,0.0758200,0.0759800,18330000
78 | VTBR,1,20151123,100300,0.0758600,0.0759700,0.0758000,0.0758100,38320000
79 | VTBR,1,20151123,100400,0.0758100,0.0758500,0.0758000,0.0758400,5660000
80 | VTBR,1,20151123,100500,0.0758400,0.0760000,0.0756200,0.0758000,54390000
81 | VTBR,1,20151123,100600,0.0758000,0.0758700,0.0757300,0.0758000,14570000
82 | VTBR,1,20151123,100700,0.0758600,0.0758800,0.0758000,0.0758800,1720000
83 | VTBR,1,20151123,110800,0.0758800,0.0758800,0.0758400,0.0758400,2440000
84 | VTBR,1,20151123,110900,0.0758100,0.0758900,0.0758000,0.0758100,13090000
85 | VTBR,1,20151123,111000,0.0758100,0.0758800,0.0758100,0.0758100,4410000
86 | "}
87 |             };
88 | 
89 |     }
90 | }
91 | 


--------------------------------------------------------------------------------
/ConsoleApp/Data/Custom/sber.csv:
--------------------------------------------------------------------------------
 1 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
 2 | SBER,60,20151116,110000,93.0900000,93.8000000,93.0100000,93.4800000,7446300
 3 | SBER,60,20151116,120000,93.4900000,94.0500000,93.2000000,93.8100000,10430360
 4 | SBER,60,20151116,130000,93.8100000,94.0000000,93.6000000,93.7600000,6203540
 5 | SBER,60,20151116,140000,93.7400000,94.6600000,93.7100000,94.6100000,9658920
 6 | SBER,60,20151116,150000,94.6100000,94.8000000,94.3500000,94.5500000,7233140
 7 | SBER,60,20151116,160000,94.5500000,94.7400000,94.4600000,94.5300000,4891440
 8 | SBER,60,20151116,170000,94.5400000,94.7300000,94.1100000,94.2500000,8215990
 9 | SBER,60,20151116,180000,94.2500000,95.5400000,94.2000000,95.2700000,16620540
10 | SBER,60,20151116,190000,95.2500000,96.1400000,95.2300000,95.8000000,17301800
11 | SBER,60,20151117,110000,96.5200000,97.7700000,96.5200000,97.6200000,25996770
12 | SBER,60,20151117,120000,97.6200000,98.1000000,97.4600000,97.7400000,16356510
13 | SBER,60,20151117,130000,97.7400000,99.8000000,97.7400000,99.5500000,28724060
14 | SBER,60,20151117,140000,99.5300000,99.8000000,99.2100000,99.5200000,12698970
15 | SBER,60,20151117,150000,99.5100000,100.1500000,99.4200000,99.7600000,17622080
16 | SBER,60,20151117,160000,99.7300000,100.2000000,99.6200000,99.8100000,10558360
17 | SBER,60,20151117,170000,99.7900000,100.4500000,99.5600000,100.3400000,11528180
18 | SBER,60,20151117,180000,100.3200000,101.2700000,100.2600000,101.2200000,31155100
19 | SBER,60,20151117,190000,101.2400000,102.6700000,101.2300000,102.5000000,26100100
20 | SBER,60,20151118,110000,102.7800000,104.3200000,101.7400000,102.4700000,33336990
21 | SBER,60,20151118,120000,102.4900000,103.2800000,102.0000000,102.6000000,18100100
22 | SBER,60,20151118,130000,102.5900000,102.9900000,102.3000000,102.8400000,6375570
23 | SBER,60,20151118,140000,102.8400000,103.9500000,102.8100000,103.5900000,14342090
24 | SBER,60,20151118,150000,103.5800000,104.5900000,103.4200000,104.1000000,15302490
25 | SBER,60,20151118,160000,104.0700000,104.4700000,103.9500000,104.0700000,11923620
26 | SBER,60,20151118,170000,104.0400000,104.4300000,103.7000000,104.2900000,10611010
27 | SBER,60,20151118,180000,104.3000000,104.3000000,103.3100000,104.1500000,15813210
28 | SBER,60,20151118,190000,104.1500000,104.1900000,103.9100000,104.0000000,10660120
29 | SBER,60,20151119,110000,104.6300000,105.8000000,102.5400000,103.2200000,28617650
30 | SBER,60,20151119,120000,103.2000000,104.5900000,103.0800000,104.3000000,13534340
31 | SBER,60,20151119,130000,104.3000000,104.4800000,103.5900000,104.4400000,11442690
32 | SBER,60,20151119,140000,104.4400000,106.6400000,104.4000000,106.4000000,23630700
33 | SBER,60,20151119,150000,106.4000000,108.5500000,106.4000000,108.3500000,38391670
34 | SBER,60,20151119,160000,108.3400000,108.4400000,106.4600000,106.5500000,22940860
35 | SBER,60,20151119,170000,106.5400000,107.0400000,106.4100000,106.5400000,14228480
36 | SBER,60,20151119,180000,106.5400000,107.4800000,105.7400000,106.8200000,20833210
37 | SBER,60,20151119,190000,106.7800000,106.8500000,104.6000000,104.8600000,17358040
38 | SBER,60,20151120,110000,104.3400000,105.3800000,103.6700000,105.2700000,16246040
39 | SBER,60,20151120,120000,105.2700000,106.2000000,105.0600000,105.8800000,14029280
40 | SBER,60,20151120,130000,105.8900000,105.9500000,104.6000000,105.0300000,9811550
41 | SBER,60,20151120,140000,105.0500000,105.2000000,104.6000000,104.8400000,3808340
42 | SBER,60,20151120,150000,104.8200000,104.8800000,103.1900000,104.1000000,16512410
43 | SBER,60,20151120,160000,104.1000000,105.1500000,104.0200000,104.8000000,11075670
44 | SBER,60,20151120,170000,104.7800000,106.1000000,104.6500000,105.6800000,11053640
45 | SBER,60,20151120,180000,105.6800000,106.9500000,105.4000000,106.2400000,16878850
46 | SBER,60,20151120,190000,106.2600000,107.3000000,106.2100000,107.3000000,14250010
47 | SBER,60,20151123,110000,106.8500000,107.4300000,105.2200000,107.4300000,24405790
48 | SBER,60,20151123,120000,107.4300000,108.4400000,106.6700000,107.0700000,36730440
49 | SBER,60,20151123,130000,107.0700000,108.0500000,107.0200000,107.5200000,8783130
50 | SBER,60,20151123,140000,107.5500000,107.6000000,107.0000000,107.3300000,7136670
51 | SBER,60,20151123,150000,107.3200000,108.3100000,107.1200000,107.9300000,12078790
52 | SBER,60,20151123,160000,107.9500000,110.3200000,107.7200000,109.3200000,39514220
53 | SBER,60,20151123,170000,109.3200000,110.0000000,109.1100000,109.7300000,13062290
54 | SBER,60,20151123,180000,109.7300000,110.1100000,109.1100000,109.1700000,17334090
55 | SBER,60,20151123,190000,109.2000000,110.1100000,108.8600000,109.9800000,14131900
56 | SBER,60,20151124,110000,109.8300000,110.7000000,108.7200000,108.7700000,22173310
57 | SBER,60,20151124,120000,108.8100000,109.5500000,107.6400000,107.9500000,29278100
58 | SBER,60,20151124,130000,107.9600000,108.7300000,107.6800000,108.4900000,9940360
59 | SBER,60,20151124,140000,108.4600000,108.4900000,106.5000000,106.5500000,17879430
60 | SBER,60,20151124,150000,106.5500000,107.9100000,106.3300000,107.4600000,11511470
61 | SBER,60,20151124,160000,107.4500000,107.5100000,105.9000000,106.5700000,17226390
62 | SBER,60,20151124,170000,106.5600000,106.6900000,105.1500000,105.2500000,17660230
63 | SBER,60,20151124,180000,105.2300000,105.7900000,105.1500000,105.5500000,15081350
64 | SBER,60,20151124,190000,105.5500000,106.0000000,105.1500000,105.6000000,13373890
65 | SBER,60,20151125,110000,106.2100000,107.8000000,106.0300000,107.2000000,21587200
66 | SBER,60,20151125,120000,107.2000000,107.2900000,106.4000000,107.1500000,12684300
67 | SBER,60,20151125,130000,107.1200000,107.4800000,106.1500000,106.5000000,10970590
68 | SBER,60,20151125,140000,106.5000000,106.7700000,105.4400000,105.9300000,15525080
69 | SBER,60,20151125,150000,105.9400000,107.3000000,105.6500000,106.9800000,11269380
70 | SBER,60,20151125,160000,107.0000000,107.4000000,106.5000000,107.3800000,8298560
71 | SBER,60,20151125,170000,107.3600000,108.0000000,107.2500000,107.3400000,14554340
72 | SBER,60,20151125,180000,107.3600000,107.8000000,107.2500000,107.7000000,7498110
73 | SBER,60,20151125,190000,107.7000000,108.9400000,107.5100000,108.5100000,17051260
74 | 


--------------------------------------------------------------------------------
/BackTesting.Model/Portfolio/NaivePortfolio.cs:
--------------------------------------------------------------------------------
  1 | namespace BackTesting.Model.Portfolio
  2 | {
  3 |     using System;
  4 |     using BackTesting.Model.DataHandlers;
  5 |     using BackTesting.Model.Events;
  6 |     using System.Collections.Generic;
  7 |     using System.Linq;
  8 | 
  9 |     public class NaivePortfolio : IPortfolio
 10 |     {
 11 |         private readonly IEventBus eventBus;
 12 |         private readonly IDataHandler bars;
 13 |         private readonly decimal initialCapital;
 14 | 
 15 |         public IDictionary<DateTime, Holding> HoldingHistory { get; private set; }
 16 | 
 17 |         private readonly IDictionary<string, int> currentPositions;
 18 |         private decimal currentComission;
 19 |         private decimal currentCash;
 20 | 
 21 |         public NaivePortfolio(IEventBus eventBus, IDataHandler bars, decimal initialCapital)
 22 |         {
 23 |             this.eventBus = eventBus;
 24 |             this.bars = bars;
 25 |             this.initialCapital = initialCapital;
 26 |             this.HoldingHistory = new Dictionary<DateTime, Holding>();
 27 |             this.currentPositions = this.bars.Symbols.ToDictionary(symbol => symbol, qty => 0); ;
 28 |             this.currentComission = decimal.Zero;
 29 |             this.currentCash = this.initialCapital;
 30 |         }
 31 | 
 32 |         public IDictionary<DateTime, decimal> GetEquityCurve()
 33 |         {
 34 |             var prevTotal = decimal.Zero;
 35 |             var equity = 1m;
 36 | 
 37 |             foreach (var kvp in this.HoldingHistory)
 38 |             {
 39 |                 var total = kvp.Value.Total;
 40 | 
 41 |                 var returns = prevTotal != decimal.Zero 
 42 |                     ? ((total - prevTotal) / prevTotal) * 100 
 43 |                     : decimal.Zero;
 44 | 
 45 |                 prevTotal = total;
 46 |                 equity *= (1.0m + returns/100);
 47 |                 kvp.Value.EquityCurve = equity;
 48 |                 kvp.Value.Returns = returns;
 49 |             }
 50 | 
 51 |             return this.HoldingHistory.ToDictionary(kvp => kvp.Key, kvp => kvp.Value.EquityCurve);
 52 |         }
 53 | 
 54 |         public void UpdateSignal(SignalEvent signal)
 55 |         {
 56 |             var orderEvent = this.GenerateNaiveOrder(signal);
 57 |             if (orderEvent != null)
 58 |             {
 59 |                 this.eventBus.Put(orderEvent);
 60 |             }
 61 |         }
 62 | 
 63 |         public void UpdateFill(FillEvent fill)
 64 |         {
 65 |             var fillDir = GetNumericDirection(fill.Direction);
 66 |             var closePrice = this.bars.GetLastClosePrice(fill.Symbol);
 67 | 
 68 |             if (closePrice == null)
 69 |             {
 70 |                 throw new InvalidOperationException($"Cannot find last price for {fill.Symbol}");
 71 |             }
 72 | 
 73 |             var cost = fillDir * closePrice.Value * fill.Quantity;
 74 |             this.currentPositions[fill.Symbol] += fillDir * fill.Quantity;
 75 |             this.currentComission += fill.Comission;
 76 |             this.currentCash -= (cost + fill.Comission);
 77 |         }
 78 | 
 79 |         public void UpdateTimeIndex(MarketEvent market)
 80 |         {
 81 |             var marketHoldings = this.bars.Symbols.ToDictionary(symbol => symbol, cost => decimal.Zero); 
 82 | 
 83 |             var cash = this.currentCash;
 84 |             var commision = this.currentComission;
 85 |             var total = this.currentCash;
 86 | 
 87 |             foreach (var symbol in this.bars.Symbols)
 88 |             {
 89 |                 var qty = this.currentPositions[symbol];
 90 |                 var closePrice = this.bars.GetLastClosePrice(symbol);
 91 | 
 92 |                 if (closePrice == null)
 93 |                 {
 94 |                     if (qty != 0)
 95 |                     {
 96 |                         throw new InvalidOperationException($"Unknown close price for {symbol} with position qty={qty}.");
 97 |                     }
 98 | 
 99 |                     closePrice = decimal.Zero;
100 |                 }
101 | 
102 |                 var marketValue = qty * closePrice.Value;
103 |                 marketHoldings[symbol] = marketValue;
104 |                 total += marketValue;
105 |             }
106 | 
107 |             var change = this.initialCapital != decimal.Zero
108 |                 ? ((total - this.initialCapital) / this.initialCapital) * 100
109 |                 : decimal.Zero;
110 | 
111 | 
112 |             var holding = new Holding();
113 | 
114 |             foreach (var kvp in marketHoldings)
115 |             {
116 |                 holding.SymbolHoldings.Add(kvp.Key, kvp.Value);
117 |             }
118 | 
119 |             holding.Comission = commision;
120 |             holding.Cash = cash;
121 |             holding.Total = total;
122 |             holding.Change = change;
123 | 
124 |             var dateTime = market.CurrentTime;
125 | 
126 |             if (this.HoldingHistory.ContainsKey(dateTime))
127 |             {
128 |                 this.HoldingHistory[dateTime] = holding;
129 |             }
130 |             else
131 |             {
132 |                 this.HoldingHistory.Add(dateTime, holding);
133 |             }
134 |         }
135 | 
136 |         private OrderEvent GenerateNaiveOrder(SignalEvent signal)
137 |         {
138 |             var symbol = signal.Symbol;
139 |             var direction = signal.SignalType;
140 |             var strength = signal.Strength;
141 |             var time = signal.TimeStamp;
142 | 
143 |             var marketQuantity = (int)Math.Floor(100*strength);
144 |             var currentQuantity = (int)this.currentPositions[symbol];
145 | 
146 |             if (direction == SignalType.Long && currentQuantity == 0)
147 |             {
148 |                 return new OrderEvent(symbol, OrderType.Market, marketQuantity, TransactionDirection.Buy, time);
149 |             }
150 |             if (direction == SignalType.Short && currentQuantity == 0)
151 |             {
152 |                 return new OrderEvent(symbol, OrderType.Market, marketQuantity, TransactionDirection.Sell, time);
153 |             }
154 |             if (direction == SignalType.Exit && currentQuantity > 0)
155 |             {
156 |                 return new OrderEvent(symbol, OrderType.Market, Math.Abs(currentQuantity), TransactionDirection.Sell, time);
157 |             }
158 |             if (direction == SignalType.Exit && currentQuantity < 0)
159 |             {
160 |                 return new OrderEvent(symbol, OrderType.Market, Math.Abs(currentQuantity), TransactionDirection.Buy, time);
161 |             }
162 | 
163 |             return null;
164 |         }
165 | 
166 |         // TODO: Convert to extension
167 |         private static int GetNumericDirection(TransactionDirection dir)
168 |         {
169 |             return dir == TransactionDirection.Buy ? 1 : dir == TransactionDirection.Sell ? -1 : 0;
170 |         }
171 |     }
172 | }
173 | 


--------------------------------------------------------------------------------
/BackTesting.Model/BackTests/BackTest.cs:
--------------------------------------------------------------------------------
  1 | namespace BackTesting.Model.BackTests
  2 | {
  3 |     using System;
  4 |     using System.Collections.Generic;
  5 |     using System.Diagnostics;
  6 |     using System.IO;
  7 |     using System.Linq;
  8 |     using System.Threading;
  9 |     using BackTesting.Model.DataHandlers;
 10 |     using BackTesting.Model.Events;
 11 |     using BackTesting.Model.ExecutionHandlers;
 12 |     using BackTesting.Model.Portfolio;
 13 |     using BackTesting.Model.Strategies;
 14 |     using CsvHelper;
 15 | 
 16 |     public class BackTest
 17 |     {
 18 |         private readonly int heartBeatMilliseconds = 0;
 19 | 
 20 |         private readonly IEventBus eventBus;
 21 |         private readonly IDataHandler bars;
 22 |         private readonly IStrategy strategy;
 23 |         private readonly IPortfolio portfolio;
 24 |         private readonly IExecutionHandler executionHandler;
 25 | 
 26 |         private int signals = 0;
 27 |         private int orders = 0;
 28 |         private int fills = 0;
 29 | 
 30 |         private readonly Stopwatch stopWatch;
 31 | 
 32 |         public BackTest(
 33 |             IEventBus eventBus,
 34 |             IDataHandler bars, 
 35 |             IStrategy strategy, 
 36 |             IPortfolio portfolio, 
 37 |             IExecutionHandler executionHandler)
 38 |         {
 39 |             this.eventBus = eventBus;
 40 |             this.bars = bars;
 41 |             this.strategy = strategy;
 42 |             this.portfolio = portfolio;
 43 |             this.executionHandler = executionHandler;
 44 |             this.stopWatch = new Stopwatch();
 45 |         }
 46 | 
 47 |         public void SimulateTrading()
 48 |         {
 49 |             this.Run();
 50 |             this.OutputPerformance();
 51 |         }
 52 | 
 53 |         private void Run()
 54 |         {
 55 |             this.stopWatch.Start();
 56 |             var iteration = 0;
 57 |             while (true)
 58 |             {
 59 |                 iteration++;
 60 |                 if (this.bars.ContinueBacktest)
 61 |                 {
 62 |                     this.bars.Update();
 63 |                 }
 64 |                 else
 65 |                 {
 66 |                     break;
 67 |                 }
 68 | 
 69 |                 while (true)
 70 |                 {
 71 |                     var evt = this.eventBus.Get();
 72 | 
 73 |                     if (evt == null)
 74 |                     {
 75 |                         break;
 76 |                     }
 77 | 
 78 |                     switch (evt.EventType)
 79 |                     {
 80 |                         case EventType.Market:
 81 |                             var mEvt = (MarketEvent) evt;
 82 |                             if (iteration % 100 == 0)
 83 |                             {
 84 |                                 Console.WriteLine($"{iteration} Market time: {mEvt.CurrentTime}");
 85 |                             }
 86 |                             this.strategy.CalculateSignals();
 87 |                             this.portfolio.UpdateTimeIndex(mEvt);
 88 |                             break;
 89 |                         case EventType.Signal:
 90 |                             var signal = (SignalEvent)evt;
 91 |                             Console.WriteLine($" => {signal}");
 92 |                             this.portfolio.UpdateSignal(signal);
 93 |                             this.signals++;
 94 |                             break;
 95 |                         case EventType.Order:
 96 |                             var order = (OrderEvent)evt;
 97 |                             Console.WriteLine($" => {order}");
 98 |                             this.executionHandler.ExecuteOrder(order);
 99 |                             this.orders++;
100 |                             break;
101 |                         case EventType.Fill:
102 |                             var fill = (FillEvent)evt;
103 |                             Console.WriteLine($" => {fill}");
104 |                             this.portfolio.UpdateFill(fill);
105 |                             this.fills++;
106 |                             break;
107 |                         default:
108 |                             // TODO: Log undefined event
109 |                             continue;
110 |                     }
111 |                 }
112 | 
113 |                 Thread.Sleep(this.heartBeatMilliseconds);
114 |             }
115 | 
116 |             this.stopWatch.Stop();
117 |         }
118 | 
119 |         private void OutputPerformance()
120 |         {
121 |             Console.WriteLine("\nCreating summary stats ...");
122 |             Console.WriteLine("---------------------------");
123 |             Console.WriteLine("Holdings");
124 |             this.PrintHoldingHistory(this.portfolio.HoldingHistory);
125 |             Console.WriteLine("---------------------------");
126 |             Console.WriteLine("Equity");
127 |             var equityCurve = this.portfolio.GetEquityCurve();
128 |             this.PrintEquityCurve(equityCurve);
129 |             this.SaveAsCsv(equityCurve, "equtycurve.csv");
130 |             Console.WriteLine("---------------------------");
131 |             Console.WriteLine($"Signals={this.signals} Orders={this.orders} Fills={this.fills}");
132 | 
133 |             var ts = this.stopWatch.Elapsed;
134 |             Console.WriteLine($"Run Time: {ts.Hours:00}:{ts.Minutes:00}:{ts.Seconds:00}.{ts.Milliseconds / 10:00}");
135 | 
136 |         }
137 | 
138 |         private void PrintHoldingHistory(IDictionary<DateTime, Holding> holdingHistory)
139 |         {
140 |             foreach (var key in holdingHistory.Keys.Take(15))
141 |             {
142 |                 Console.WriteLine(holdingHistory[key]);
143 |             }
144 | 
145 |             Console.WriteLine("......................................");
146 | 
147 |             foreach (var key in holdingHistory.Keys.OrderByDescending(k => k).Take(15))
148 |             {
149 |                 Console.WriteLine(holdingHistory[key]);
150 |             }
151 |         }
152 | 
153 |         private void PrintEquityCurve(IDictionary<DateTime, decimal> equityCurve)
154 |         {
155 |             foreach (var key in equityCurve.Keys.Take(15))
156 |             {
157 |                 Console.WriteLine($"{key} {equityCurve[key]}");
158 |             }
159 | 
160 |             Console.WriteLine("......................................");
161 | 
162 |             foreach (var key in equityCurve.Keys.OrderByDescending(k => k).Take(15))
163 |             {
164 |                 Console.WriteLine($"{key} {equityCurve[key]}");
165 |             }
166 |         }
167 | 
168 |         private void SaveAsCsv(IDictionary<DateTime, decimal> equityCurve, string fileName)
169 |         {
170 |             using (var tw = new StreamWriter(fileName))
171 |             {
172 |                 var csvWriter = new CsvWriter(tw);
173 | 
174 |                 foreach (var kvp in equityCurve)
175 |                 {
176 |                     csvWriter.WriteRecord(new { DateTime = kvp.Key, Equity = kvp.Value });
177 |                 }
178 |             }
179 |         }
180 |     }
181 | }
182 | 


--------------------------------------------------------------------------------
/ConsoleApp/Data/Hour/vtbr.csv:
--------------------------------------------------------------------------------
  1 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
  2 | VTBR,60,20151102,110000,0.0720700,0.0725500,0.0716000,0.0718500,766540000
  3 | VTBR,60,20151102,120000,0.0718500,0.0723800,0.0716400,0.0722300,735950000
  4 | VTBR,60,20151102,130000,0.0722300,0.0724800,0.0718700,0.0721900,637950000
  5 | VTBR,60,20151102,140000,0.0721900,0.0722400,0.0718500,0.0720600,232510000
  6 | VTBR,60,20151102,150000,0.0720500,0.0729500,0.0719900,0.0728200,1451010000
  7 | VTBR,60,20151102,160000,0.0727800,0.0728000,0.0722100,0.0725300,736170000
  8 | VTBR,60,20151102,170000,0.0724900,0.0729100,0.0724800,0.0728800,368140000
  9 | VTBR,60,20151102,180000,0.0728400,0.0729800,0.0727700,0.0729500,961960000
 10 | VTBR,60,20151102,190000,0.0729700,0.0730000,0.0725000,0.0725000,2293810000
 11 | VTBR,60,20151103,110000,0.0728800,0.0738000,0.0725200,0.0730500,1975220000
 12 | VTBR,60,20151103,120000,0.0730600,0.0731500,0.0720000,0.0722900,2337810000
 13 | VTBR,60,20151103,130000,0.0722900,0.0728000,0.0720800,0.0727900,566180000
 14 | VTBR,60,20151103,140000,0.0727900,0.0731400,0.0721300,0.0721900,2008800000
 15 | VTBR,60,20151103,150000,0.0721900,0.0732000,0.0721700,0.0729200,6875690000
 16 | VTBR,60,20151103,160000,0.0729200,0.0735000,0.0727000,0.0734500,2447080000
 17 | VTBR,60,20151103,170000,0.0734600,0.0735000,0.0732600,0.0735000,1389050000
 18 | VTBR,60,20151103,180000,0.0735000,0.0738900,0.0733700,0.0735000,2639620000
 19 | VTBR,60,20151103,190000,0.0735300,0.0739600,0.0734000,0.0739600,1511350000
 20 | VTBR,60,20151105,110000,0.0735000,0.0751600,0.0735000,0.0748200,3472940000
 21 | VTBR,60,20151105,120000,0.0748300,0.0754000,0.0747700,0.0754000,2589700000
 22 | VTBR,60,20151105,130000,0.0754000,0.0756900,0.0751000,0.0756000,1354230000
 23 | VTBR,60,20151105,140000,0.0756000,0.0762900,0.0753100,0.0761500,2351840000
 24 | VTBR,60,20151105,150000,0.0761700,0.0769700,0.0761400,0.0763000,3798790000
 25 | VTBR,60,20151105,160000,0.0763000,0.0763100,0.0755100,0.0760500,2037370000
 26 | VTBR,60,20151105,170000,0.0760500,0.0764700,0.0758700,0.0761600,891020000
 27 | VTBR,60,20151105,180000,0.0761600,0.0762700,0.0756900,0.0761200,1132890000
 28 | VTBR,60,20151105,190000,0.0761200,0.0765000,0.0758700,0.0761500,2028750000
 29 | VTBR,60,20151106,110000,0.0765100,0.0769600,0.0763500,0.0769000,1797600000
 30 | VTBR,60,20151106,120000,0.0769100,0.0774200,0.0767800,0.0770400,2154110000
 31 | VTBR,60,20151106,130000,0.0770300,0.0770300,0.0765300,0.0766500,831380000
 32 | VTBR,60,20151106,140000,0.0766500,0.0766800,0.0760000,0.0760200,1155370000
 33 | VTBR,60,20151106,150000,0.0761000,0.0764100,0.0760100,0.0761500,389810000
 34 | VTBR,60,20151106,160000,0.0762000,0.0763200,0.0755300,0.0756200,1306270000
 35 | VTBR,60,20151106,170000,0.0756200,0.0760000,0.0751300,0.0751600,2185180000
 36 | VTBR,60,20151106,180000,0.0751600,0.0759500,0.0751500,0.0755300,1570850000
 37 | VTBR,60,20151106,190000,0.0755300,0.0758500,0.0749000,0.0758500,4416960000
 38 | VTBR,60,20151109,110000,0.0756700,0.0759900,0.0755500,0.0757000,881060000
 39 | VTBR,60,20151109,120000,0.0756700,0.0758600,0.0752200,0.0757600,792430000
 40 | VTBR,60,20151109,130000,0.0757600,0.0758200,0.0752000,0.0755100,747160000
 41 | VTBR,60,20151109,140000,0.0755100,0.0756900,0.0752100,0.0752600,266350000
 42 | VTBR,60,20151109,150000,0.0752700,0.0756900,0.0752700,0.0754700,506010000
 43 | VTBR,60,20151109,160000,0.0754700,0.0762600,0.0754400,0.0760900,1123090000
 44 | VTBR,60,20151109,170000,0.0761000,0.0761000,0.0756000,0.0756000,475780000
 45 | VTBR,60,20151109,180000,0.0756000,0.0758700,0.0753800,0.0753900,563900000
 46 | VTBR,60,20151109,190000,0.0753900,0.0760000,0.0753500,0.0760000,1505330000
 47 | VTBR,60,20151110,110000,0.0759000,0.0760000,0.0753200,0.0757600,822120000
 48 | VTBR,60,20151110,120000,0.0758100,0.0759800,0.0755000,0.0755100,644360000
 49 | VTBR,60,20151110,130000,0.0755800,0.0756600,0.0754100,0.0754200,737980000
 50 | VTBR,60,20151110,140000,0.0754200,0.0757800,0.0752500,0.0754400,673320000
 51 | VTBR,60,20151110,150000,0.0753700,0.0755000,0.0753100,0.0754200,154430000
 52 | VTBR,60,20151110,160000,0.0754400,0.0760800,0.0753500,0.0759600,1735920000
 53 | VTBR,60,20151110,170000,0.0759600,0.0761000,0.0755000,0.0755400,2223760000
 54 | VTBR,60,20151110,180000,0.0755600,0.0755600,0.0752600,0.0754000,1252470000
 55 | VTBR,60,20151110,190000,0.0754000,0.0758400,0.0746700,0.0757600,3293720000
 56 | VTBR,60,20151111,110000,0.0757400,0.0759600,0.0753100,0.0757600,547570000
 57 | VTBR,60,20151111,120000,0.0757600,0.0759400,0.0753500,0.0758500,804100000
 58 | VTBR,60,20151111,130000,0.0758500,0.0760500,0.0758100,0.0759000,920640000
 59 | VTBR,60,20151111,140000,0.0758900,0.0761500,0.0758400,0.0759900,512170000
 60 | VTBR,60,20151111,150000,0.0759900,0.0760000,0.0756300,0.0757000,236710000
 61 | VTBR,60,20151111,160000,0.0756500,0.0757400,0.0755000,0.0756600,372440000
 62 | VTBR,60,20151111,170000,0.0756000,0.0759900,0.0755500,0.0759500,486510000
 63 | VTBR,60,20151111,180000,0.0759500,0.0762000,0.0758300,0.0758900,1065730000
 64 | VTBR,60,20151111,190000,0.0759000,0.0760000,0.0752400,0.0760000,3614200000
 65 | VTBR,60,20151112,110000,0.0756700,0.0758400,0.0755100,0.0756100,1020840000
 66 | VTBR,60,20151112,120000,0.0756100,0.0759400,0.0755200,0.0758500,315090000
 67 | VTBR,60,20151112,130000,0.0758400,0.0758500,0.0755800,0.0756200,246630000
 68 | VTBR,60,20151112,140000,0.0756900,0.0760000,0.0756200,0.0759900,454230000
 69 | VTBR,60,20151112,150000,0.0759300,0.0761000,0.0757500,0.0757500,515070000
 70 | VTBR,60,20151112,160000,0.0757500,0.0759000,0.0756500,0.0757500,224680000
 71 | VTBR,60,20151112,170000,0.0757400,0.0759000,0.0756900,0.0758400,592190000
 72 | VTBR,60,20151112,180000,0.0758100,0.0759500,0.0755700,0.0756700,888840000
 73 | VTBR,60,20151112,190000,0.0756100,0.0757000,0.0754200,0.0754200,1737610000
 74 | VTBR,60,20151113,110000,0.0752000,0.0753800,0.0740300,0.0746400,3179250000
 75 | VTBR,60,20151113,120000,0.0746000,0.0749600,0.0745000,0.0748200,2081870000
 76 | VTBR,60,20151113,130000,0.0748100,0.0750000,0.0747500,0.0747700,921500000
 77 | VTBR,60,20151113,140000,0.0747800,0.0751500,0.0747500,0.0747500,623160000
 78 | VTBR,60,20151113,150000,0.0748000,0.0749000,0.0747500,0.0748400,657520000
 79 | VTBR,60,20151113,160000,0.0748400,0.0749400,0.0748000,0.0748300,138590000
 80 | VTBR,60,20151113,170000,0.0748300,0.0752000,0.0748000,0.0750900,357990000
 81 | VTBR,60,20151113,180000,0.0750900,0.0753100,0.0748000,0.0748000,977210000
 82 | VTBR,60,20151113,190000,0.0748100,0.0758000,0.0746100,0.0758000,7024840000
 83 | VTBR,60,20151116,110000,0.0756000,0.0761400,0.0755900,0.0757000,1219700000
 84 | VTBR,60,20151116,120000,0.0757300,0.0759200,0.0756000,0.0757000,1151440000
 85 | VTBR,60,20151116,130000,0.0757000,0.0757500,0.0755500,0.0756500,871450000
 86 | VTBR,60,20151116,140000,0.0756800,0.0758000,0.0756000,0.0758000,770980000
 87 | VTBR,60,20151116,150000,0.0758000,0.0759500,0.0757500,0.0757900,894010000
 88 | VTBR,60,20151116,160000,0.0757900,0.0758800,0.0756500,0.0756700,346820000
 89 | VTBR,60,20151116,170000,0.0757500,0.0758300,0.0755700,0.0756200,335980000
 90 | VTBR,60,20151116,180000,0.0756200,0.0758300,0.0755500,0.0755700,760030000
 91 | VTBR,60,20151116,190000,0.0755600,0.0759800,0.0755500,0.0758800,2204260000
 92 | VTBR,60,20151117,110000,0.0760800,0.0766600,0.0756000,0.0759400,2799170000
 93 | VTBR,60,20151117,120000,0.0759100,0.0760000,0.0756500,0.0758900,1785530000
 94 | VTBR,60,20151117,130000,0.0758900,0.0767900,0.0758700,0.0767000,3566730000
 95 | VTBR,60,20151117,140000,0.0767000,0.0784000,0.0766700,0.0779200,6495140000
 96 | VTBR,60,20151117,150000,0.0779800,0.0788600,0.0774500,0.0774800,3894220000
 97 | VTBR,60,20151117,160000,0.0774500,0.0776000,0.0765100,0.0765800,3223690000
 98 | VTBR,60,20151117,170000,0.0765700,0.0767600,0.0761000,0.0762600,5076120000
 99 | VTBR,60,20151117,180000,0.0762100,0.0765000,0.0751600,0.0762600,3578310000
100 | VTBR,60,20151117,190000,0.0763100,0.0764900,0.0759500,0.0759500,2865060000
101 | VTBR,60,20151118,110000,0.0763300,0.0776800,0.0759400,0.0766700,4571510000
102 | VTBR,60,20151118,120000,0.0766500,0.0771300,0.0766000,0.0768200,1273500000
103 | VTBR,60,20151118,130000,0.0767500,0.0773000,0.0763500,0.0770800,855210000
104 | VTBR,60,20151118,140000,0.0771200,0.0774000,0.0768200,0.0771200,1930450000
105 | VTBR,60,20151118,150000,0.0771300,0.0772400,0.0769700,0.0771200,3003400000
106 | VTBR,60,20151118,160000,0.0771200,0.0771500,0.0763000,0.0764800,1501830000
107 | VTBR,60,20151118,170000,0.0764400,0.0767300,0.0762000,0.0765000,1846610000
108 | VTBR,60,20151118,180000,0.0764900,0.0766100,0.0760200,0.0765500,3314650000
109 | VTBR,60,20151118,190000,0.0765500,0.0766100,0.0761000,0.0761000,2084420000
110 | VTBR,60,20151119,110000,0.0769800,0.0773000,0.0748600,0.0755500,3049860000
111 | VTBR,60,20151119,120000,0.0755900,0.0767400,0.0755500,0.0758800,2160270000
112 | VTBR,60,20151119,130000,0.0758500,0.0763600,0.0755100,0.0763200,1394480000
113 | VTBR,60,20151119,140000,0.0763200,0.0765100,0.0761000,0.0763500,532640000
114 | VTBR,60,20151119,150000,0.0763000,0.0768700,0.0761200,0.0763000,2906140000
115 | VTBR,60,20151119,160000,0.0763000,0.0763500,0.0752400,0.0755300,1210580000
116 | VTBR,60,20151119,170000,0.0754500,0.0758500,0.0754000,0.0757600,797290000
117 | VTBR,60,20151119,180000,0.0757200,0.0759500,0.0750700,0.0757600,1664550000
118 | VTBR,60,20151119,190000,0.0757200,0.0762000,0.0754700,0.0762000,1839180000
119 | VTBR,60,20151120,110000,0.0759200,0.0760000,0.0753200,0.0758600,688620000
120 | VTBR,60,20151120,120000,0.0758700,0.0764500,0.0756100,0.0762000,1139190000
121 | VTBR,60,20151120,130000,0.0762000,0.0769500,0.0758600,0.0768000,1291660000
122 | VTBR,60,20151120,140000,0.0768000,0.0769000,0.0764600,0.0765100,967690000
123 | VTBR,60,20151120,150000,0.0765900,0.0768900,0.0763100,0.0766700,924590000
124 | VTBR,60,20151120,160000,0.0766700,0.0769000,0.0766500,0.0766600,679080000
125 | VTBR,60,20151120,170000,0.0766600,0.0767000,0.0761400,0.0763000,802980000
126 | VTBR,60,20151120,180000,0.0763100,0.0763700,0.0760800,0.0761600,2029790000
127 | VTBR,60,20151120,190000,0.0761700,0.0762700,0.0759200,0.0760100,2147250000
128 | VTBR,60,20151123,110000,0.0761800,0.0762700,0.0751400,0.0756300,832870000
129 | VTBR,60,20151123,120000,0.0756900,0.0758300,0.0753000,0.0755700,375700000
130 | VTBR,60,20151123,130000,0.0755400,0.0764100,0.0753900,0.0762100,998330000
131 | VTBR,60,20151123,140000,0.0762100,0.0766700,0.0762100,0.0763200,502780000
132 | VTBR,60,20151123,150000,0.0762800,0.0769500,0.0761400,0.0768000,1101690000
133 | VTBR,60,20151123,160000,0.0767800,0.0769400,0.0766200,0.0768700,1723800000
134 | VTBR,60,20151123,170000,0.0768100,0.0768500,0.0763100,0.0764200,716530000
135 | VTBR,60,20151123,180000,0.0764100,0.0765600,0.0761500,0.0762000,1359640000
136 | VTBR,60,20151123,190000,0.0762100,0.0764000,0.0760100,0.0763000,1360630000
137 | VTBR,60,20151124,110000,0.0762700,0.0765300,0.0758200,0.0760000,871470000
138 | VTBR,60,20151124,120000,0.0760000,0.0767700,0.0750600,0.0751500,3266630000
139 | VTBR,60,20151124,130000,0.0751500,0.0757200,0.0750000,0.0755700,1216060000
140 | VTBR,60,20151124,140000,0.0755700,0.0756500,0.0753000,0.0753100,2053680000
141 | VTBR,60,20151124,150000,0.0753100,0.0754000,0.0750100,0.0752700,1726590000
142 | VTBR,60,20151124,160000,0.0752900,0.0758000,0.0750200,0.0750800,1001410000
143 | VTBR,60,20151124,170000,0.0751400,0.0751400,0.0724000,0.0728100,7448850000
144 | VTBR,60,20151124,180000,0.0728000,0.0729400,0.0717100,0.0726900,8616500000
145 | VTBR,60,20151124,190000,0.0726100,0.0735700,0.0723500,0.0728300,2211210000
146 | VTBR,60,20151125,110000,0.0731000,0.0736800,0.0726600,0.0733200,1611300000
147 | VTBR,60,20151125,120000,0.0733300,0.0735600,0.0725500,0.0727000,827290000
148 | VTBR,60,20151125,130000,0.0727000,0.0728700,0.0724100,0.0725900,997920000
149 | VTBR,60,20151125,140000,0.0725600,0.0733600,0.0725200,0.0730800,751890000
150 | VTBR,60,20151125,150000,0.0731500,0.0738000,0.0730600,0.0735000,1311590000
151 | VTBR,60,20151125,160000,0.0735700,0.0739500,0.0731000,0.0738300,1103850000
152 | VTBR,60,20151125,170000,0.0738300,0.0744000,0.0737300,0.0739100,1062020000
153 | VTBR,60,20151125,180000,0.0738900,0.0742000,0.0736000,0.0741600,729920000
154 | VTBR,60,20151125,190000,0.0741100,0.0747200,0.0739400,0.0745000,1789350000
155 | VTBR,60,20151126,110000,0.0742100,0.0752600,0.0742100,0.0750000,1086470000
156 | VTBR,60,20151126,120000,0.0749900,0.0750600,0.0742000,0.0745400,486280000
157 | VTBR,60,20151126,130000,0.0745200,0.0749900,0.0744300,0.0747000,426890000
158 | VTBR,60,20151126,140000,0.0747000,0.0759100,0.0746700,0.0753600,2184900000
159 | VTBR,60,20151126,150000,0.0754300,0.0758500,0.0750000,0.0754800,834670000
160 | VTBR,60,20151126,160000,0.0754000,0.0756700,0.0748200,0.0751900,882550000
161 | VTBR,60,20151126,170000,0.0751500,0.0754800,0.0749600,0.0750100,843280000
162 | VTBR,60,20151126,180000,0.0750300,0.0751900,0.0746000,0.0747000,928600000
163 | VTBR,60,20151126,190000,0.0747000,0.0760000,0.0746000,0.0760000,4218270000
164 | VTBR,60,20151127,110000,0.0759800,0.0761000,0.0754300,0.0756900,956550000
165 | VTBR,60,20151127,120000,0.0756500,0.0756500,0.0753100,0.0755400,629900000
166 | VTBR,60,20151127,130000,0.0755300,0.0756400,0.0746800,0.0747100,1974920000
167 | VTBR,60,20151127,140000,0.0747000,0.0750500,0.0745600,0.0745800,849900000
168 | VTBR,60,20151127,150000,0.0746000,0.0749000,0.0741300,0.0741400,1491710000
169 | VTBR,60,20151127,160000,0.0742000,0.0746600,0.0731600,0.0743600,1854430000
170 | VTBR,60,20151127,170000,0.0744300,0.0744700,0.0733800,0.0735900,1287270000
171 | VTBR,60,20151127,180000,0.0736400,0.0738300,0.0731400,0.0731800,1454670000
172 | VTBR,60,20151127,190000,0.0731700,0.0732600,0.0727100,0.0727100,2583470000
173 | VTBR,60,20151130,110000,0.0726000,0.0734700,0.0723300,0.0733000,1361290000
174 | VTBR,60,20151130,120000,0.0732500,0.0735500,0.0727100,0.0729600,1588830000
175 | VTBR,60,20151130,130000,0.0728900,0.0732000,0.0720500,0.0725300,1848850000
176 | VTBR,60,20151130,140000,0.0725400,0.0728300,0.0723700,0.0725800,641220000
177 | VTBR,60,20151130,150000,0.0726000,0.0727100,0.0721500,0.0721800,945020000
178 | VTBR,60,20151130,160000,0.0721500,0.0724400,0.0716000,0.0720500,2015310000
179 | VTBR,60,20151130,170000,0.0721000,0.0722900,0.0719000,0.0720500,819920000
180 | VTBR,60,20151130,180000,0.0721000,0.0726500,0.0719500,0.0725600,1246000000
181 | VTBR,60,20151130,190000,0.0725200,0.0725800,0.0706600,0.0710000,7386660000
182 | VTBR,60,20151201,110000,0.0715800,0.0720000,0.0712400,0.0718100,2629640000
183 | VTBR,60,20151201,120000,0.0718100,0.0725000,0.0716500,0.0720900,1430280000
184 | VTBR,60,20151201,130000,0.0721500,0.0724400,0.0720500,0.0720600,671690000
185 | VTBR,60,20151201,140000,0.0720600,0.0723000,0.0718700,0.0721000,780890000
186 | VTBR,60,20151201,150000,0.0722000,0.0722400,0.0718900,0.0720000,471890000
187 | VTBR,60,20151201,160000,0.0720500,0.0722800,0.0716500,0.0721400,866830000
188 | VTBR,60,20151201,170000,0.0721500,0.0724100,0.0718800,0.0722900,768860000
189 | VTBR,60,20151201,180000,0.0722900,0.0729700,0.0720700,0.0724300,1529870000
190 | VTBR,60,20151201,190000,0.0724300,0.0734300,0.0723200,0.0732800,3244910000
191 | VTBR,60,20151202,110000,0.0735000,0.0738500,0.0731400,0.0738500,1267510000
192 | VTBR,60,20151202,120000,0.0738400,0.0739900,0.0731500,0.0733700,1304100000
193 | VTBR,60,20151202,130000,0.0732600,0.0734700,0.0725700,0.0726800,1104450000
194 | VTBR,60,20151202,140000,0.0727600,0.0732900,0.0727100,0.0730900,367050000
195 | VTBR,60,20151202,150000,0.0730100,0.0731000,0.0722200,0.0722600,805020000
196 | VTBR,60,20151202,160000,0.0722600,0.0722800,0.0716900,0.0720800,2057480000
197 | VTBR,60,20151202,170000,0.0720200,0.0723300,0.0715400,0.0716300,1157450000
198 | VTBR,60,20151202,180000,0.0716200,0.0721500,0.0714900,0.0718400,683830000
199 | VTBR,60,20151202,190000,0.0718500,0.0723400,0.0718500,0.0722500,575580000
200 | VTBR,60,20151203,110000,0.0718800,0.0722400,0.0716300,0.0721000,602240000
201 | VTBR,60,20151203,120000,0.0721100,0.0721800,0.0717500,0.0719400,612650000
202 | VTBR,60,20151203,130000,0.0719000,0.0721000,0.0716000,0.0719000,803180000
203 | VTBR,60,20151203,140000,0.0719100,0.0721600,0.0713800,0.0719900,1388880000
204 | VTBR,60,20151203,150000,0.0720200,0.0725500,0.0718100,0.0723500,654290000
205 | VTBR,60,20151203,160000,0.0723400,0.0725400,0.0720400,0.0722400,315110000
206 | VTBR,60,20151203,170000,0.0723300,0.0725400,0.0720000,0.0722000,984960000
207 | VTBR,60,20151203,180000,0.0722000,0.0723400,0.0721000,0.0723400,175330000
208 | VTBR,60,20151203,190000,0.0723300,0.0723400,0.0717000,0.0717000,681950000
209 | VTBR,60,20151204,110000,0.0719600,0.0725000,0.0718200,0.0723300,951650000
210 | VTBR,60,20151204,120000,0.0722400,0.0722400,0.0716400,0.0720700,969880000
211 | VTBR,60,20151204,130000,0.0720600,0.0729300,0.0719500,0.0727100,1323190000
212 | VTBR,60,20151204,140000,0.0727100,0.0731500,0.0727100,0.0728000,1161030000
213 | VTBR,60,20151204,150000,0.0728100,0.0733300,0.0728000,0.0732900,1081530000
214 | VTBR,60,20151204,160000,0.0733100,0.0733300,0.0724500,0.0726500,945540000
215 | VTBR,60,20151204,170000,0.0726000,0.0728000,0.0719400,0.0719900,1645920000
216 | VTBR,60,20151204,180000,0.0719600,0.0723400,0.0714000,0.0721200,4768340000
217 | VTBR,60,20151204,190000,0.0721200,0.0723000,0.0718000,0.0723000,2798440000
218 | VTBR,60,20151207,110000,0.0720000,0.0725100,0.0720000,0.0723400,578190000
219 | VTBR,60,20151207,120000,0.0722500,0.0724000,0.0720100,0.0720100,487830000
220 | VTBR,60,20151207,130000,0.0720100,0.0723000,0.0718000,0.0720100,1426490000
221 | VTBR,60,20151207,140000,0.0720900,0.0722000,0.0719500,0.0720600,729640000
222 | VTBR,60,20151207,150000,0.0720600,0.0724800,0.0719500,0.0724300,564640000
223 | VTBR,60,20151207,160000,0.0723500,0.0727100,0.0722500,0.0725600,328720000
224 | VTBR,60,20151207,170000,0.0724900,0.0725600,0.0720300,0.0721000,495120000
225 | VTBR,60,20151207,180000,0.0721000,0.0723100,0.0719100,0.0722000,2245030000
226 | VTBR,60,20151207,190000,0.0721500,0.0724700,0.0719700,0.0724700,2383300000
227 | VTBR,60,20151208,110000,0.0724000,0.0728200,0.0722000,0.0722600,936550000
228 | VTBR,60,20151208,120000,0.0722800,0.0725000,0.0721100,0.0723900,1414630000
229 | VTBR,60,20151208,130000,0.0723500,0.0724700,0.0721100,0.0724500,1255450000
230 | VTBR,60,20151208,140000,0.0723900,0.0724700,0.0721300,0.0724000,771570000
231 | VTBR,60,20151208,150000,0.0724000,0.0726400,0.0723100,0.0723900,438860000
232 | VTBR,60,20151208,160000,0.0724100,0.0724500,0.0722200,0.0723600,865860000
233 | VTBR,60,20151208,170000,0.0724000,0.0726900,0.0721200,0.0725200,1194730000
234 | VTBR,60,20151208,180000,0.0724600,0.0726500,0.0720900,0.0723200,1507450000
235 | VTBR,60,20151208,190000,0.0723400,0.0724900,0.0721000,0.0724500,1447600000
236 | VTBR,60,20151209,110000,0.0725800,0.0729400,0.0723500,0.0728900,1436860000
237 | VTBR,60,20151209,120000,0.0728900,0.0738000,0.0728700,0.0736700,2113630000
238 | VTBR,60,20151209,130000,0.0736700,0.0738900,0.0735000,0.0736400,1860490000
239 | VTBR,60,20151209,140000,0.0736400,0.0742900,0.0735000,0.0739600,1761740000
240 | VTBR,60,20151209,150000,0.0739600,0.0751300,0.0739600,0.0745100,4561590000
241 | VTBR,60,20151209,160000,0.0745100,0.0752300,0.0745100,0.0752000,3584360000
242 | VTBR,60,20151209,170000,0.0751900,0.0755800,0.0749400,0.0755800,1814980000
243 | VTBR,60,20151209,180000,0.0755800,0.0760000,0.0751300,0.0753600,5080230000
244 | VTBR,60,20151209,190000,0.0753400,0.0757300,0.0750100,0.0750500,2789320000
245 | VTBR,60,20151210,110000,0.0750100,0.0761000,0.0747400,0.0760500,2823970000
246 | VTBR,60,20151210,120000,0.0760500,0.0768500,0.0758400,0.0761100,5760230000
247 | VTBR,60,20151210,130000,0.0761700,0.0765000,0.0759000,0.0763100,1905230000
248 | VTBR,60,20151210,140000,0.0763000,0.0763000,0.0755000,0.0756000,1241640000
249 | VTBR,60,20151210,150000,0.0756100,0.0759900,0.0754000,0.0759400,690600000
250 | VTBR,60,20151210,160000,0.0758500,0.0763500,0.0756800,0.0759600,719010000
251 | VTBR,60,20151210,170000,0.0759500,0.0761800,0.0756000,0.0756600,901100000
252 | VTBR,60,20151210,180000,0.0757600,0.0759400,0.0752500,0.0755100,980040000
253 | VTBR,60,20151210,190000,0.0755000,0.0757500,0.0750500,0.0757500,2200720000
254 | VTBR,60,20151211,110000,0.0754400,0.0762300,0.0754100,0.0758100,1163820000
255 | VTBR,60,20151211,120000,0.0758100,0.0763300,0.0754600,0.0759500,1440220000
256 | VTBR,60,20151211,130000,0.0759000,0.0761400,0.0757100,0.0758300,672080000
257 | VTBR,60,20151211,140000,0.0758300,0.0759600,0.0756100,0.0757700,795120000
258 | VTBR,60,20151211,150000,0.0757600,0.0759300,0.0756500,0.0759300,505420000
259 | VTBR,60,20151211,160000,0.0759200,0.0759900,0.0757400,0.0759700,580900000
260 | VTBR,60,20151211,170000,0.0759400,0.0767000,0.0758700,0.0760800,2114170000
261 | VTBR,60,20151211,180000,0.0761000,0.0763600,0.0757100,0.0758500,1681630000
262 | VTBR,60,20151211,190000,0.0758500,0.0762400,0.0755200,0.0757000,2659280000
263 | VTBR,60,20151214,110000,0.0754900,0.0758800,0.0752100,0.0756200,1812180000
264 | VTBR,60,20151214,120000,0.0756200,0.0759500,0.0752600,0.0756900,2416900000
265 | VTBR,60,20151214,130000,0.0756700,0.0758400,0.0754200,0.0758000,466450000
266 | VTBR,60,20151214,140000,0.0758100,0.0758200,0.0755000,0.0756100,556290000
267 | VTBR,60,20151214,150000,0.0755900,0.0758200,0.0752700,0.0754700,3120290000
268 | VTBR,60,20151214,160000,0.0754600,0.0755100,0.0749500,0.0754300,3124660000
269 | VTBR,60,20151214,170000,0.0754300,0.0755900,0.0752000,0.0754300,1585320000
270 | VTBR,60,20151214,180000,0.0754600,0.0757200,0.0752300,0.0753200,2111600000
271 | VTBR,60,20151214,190000,0.0753200,0.0757500,0.0752000,0.0757500,4583490000
272 | VTBR,60,20151215,110000,0.0759400,0.0763500,0.0753000,0.0755500,2108500000
273 | VTBR,60,20151215,120000,0.0755400,0.0756700,0.0753000,0.0754000,1217320000
274 | VTBR,60,20151215,130000,0.0754700,0.0758500,0.0754000,0.0756400,1710680000
275 | VTBR,60,20151215,140000,0.0756400,0.0757500,0.0753600,0.0753700,1345700000
276 | VTBR,60,20151215,150000,0.0753800,0.0757700,0.0753600,0.0757400,1323940000
277 | VTBR,60,20151215,160000,0.0757500,0.0758800,0.0757000,0.0758800,1928620000
278 | VTBR,60,20151215,170000,0.0758100,0.0758500,0.0755800,0.0757800,2462840000
279 | VTBR,60,20151215,180000,0.0757500,0.0763900,0.0757500,0.0758800,5480300000
280 | VTBR,60,20151215,190000,0.0758800,0.0762400,0.0757500,0.0762400,3366210000
281 | VTBR,60,20151216,110000,0.0762400,0.0765000,0.0759300,0.0764000,1414360000
282 | VTBR,60,20151216,120000,0.0764700,0.0773700,0.0761900,0.0773400,2702460000
283 | VTBR,60,20151216,130000,0.0773600,0.0775800,0.0770300,0.0775700,1931550000
284 | VTBR,60,20151216,140000,0.0775300,0.0778800,0.0774000,0.0776100,1413320000
285 | VTBR,60,20151216,150000,0.0776000,0.0778600,0.0773600,0.0773600,711650000
286 | VTBR,60,20151216,160000,0.0773900,0.0778000,0.0770400,0.0777700,1588440000
287 | VTBR,60,20151216,170000,0.0777700,0.0780000,0.0775300,0.0777200,1201960000
288 | VTBR,60,20151216,180000,0.0776200,0.0778700,0.0775200,0.0776000,889090000
289 | VTBR,60,20151216,190000,0.0776000,0.0777100,0.0773700,0.0775000,1914810000
290 | VTBR,60,20151217,110000,0.0777400,0.0787700,0.0777300,0.0784900,2440880000
291 | VTBR,60,20151217,120000,0.0784900,0.0794000,0.0783500,0.0793300,2888940000
292 | VTBR,60,20151217,130000,0.0793600,0.0795900,0.0788000,0.0788700,3045040000
293 | VTBR,60,20151217,140000,0.0788700,0.0794500,0.0788200,0.0793900,1665720000
294 | VTBR,60,20151217,150000,0.0793800,0.0799000,0.0788100,0.0798900,5171550000
295 | VTBR,60,20151217,160000,0.0798800,0.0799000,0.0794000,0.0795500,1419720000
296 | VTBR,60,20151217,170000,0.0795800,0.0798000,0.0795100,0.0796300,982330000
297 | VTBR,60,20151217,180000,0.0796500,0.0797500,0.0790900,0.0793400,1505820000
298 | VTBR,60,20151217,190000,0.0793400,0.0793400,0.0787100,0.0787700,2745740000
299 | VTBR,60,20151218,110000,0.0787200,0.0788100,0.0780500,0.0780500,1128390000
300 | VTBR,60,20151218,120000,0.0780500,0.0783100,0.0773700,0.0774000,2512010000
301 | VTBR,60,20151218,130000,0.0774000,0.0779300,0.0772200,0.0777400,1153530000
302 | VTBR,60,20151218,140000,0.0777500,0.0777700,0.0775000,0.0775500,306460000
303 | VTBR,60,20151218,150000,0.0775500,0.0779900,0.0770000,0.0773000,1899890000
304 | VTBR,60,20151218,160000,0.0773000,0.0779500,0.0771500,0.0776300,576360000
305 | VTBR,60,20151218,170000,0.0776600,0.0777100,0.0768200,0.0770700,1120620000
306 | VTBR,60,20151218,180000,0.0771000,0.0772600,0.0761000,0.0762300,2439820000
307 | VTBR,60,20151218,190000,0.0762300,0.0765800,0.0752000,0.0752000,5325030000
308 | VTBR,60,20151221,110000,0.0755700,0.0764600,0.0755700,0.0762800,1519330000
309 | VTBR,60,20151221,120000,0.0762800,0.0765000,0.0761400,0.0764500,780790000
310 | VTBR,60,20151221,130000,0.0764300,0.0767800,0.0761000,0.0762300,824940000
311 | VTBR,60,20151221,140000,0.0762800,0.0763200,0.0757500,0.0761000,2420610000
312 | VTBR,60,20151221,150000,0.0760400,0.0763000,0.0760000,0.0760200,479720000
313 | VTBR,60,20151221,160000,0.0760200,0.0761900,0.0760000,0.0761900,546380000
314 | VTBR,60,20151221,170000,0.0761900,0.0763200,0.0760000,0.0760100,502400000
315 | VTBR,60,20151221,180000,0.0760200,0.0761900,0.0760000,0.0760500,1052390000
316 | VTBR,60,20151221,190000,0.0760800,0.0763400,0.0760000,0.0763400,885260000
317 | VTBR,60,20151222,110000,0.0763100,0.0765600,0.0761600,0.0763000,555210000
318 | VTBR,60,20151222,120000,0.0763000,0.0777600,0.0762200,0.0776600,1551960000
319 | VTBR,60,20151222,130000,0.0776600,0.0782900,0.0772000,0.0776600,1541610000
320 | VTBR,60,20151222,140000,0.0776500,0.0780500,0.0773300,0.0777400,540360000
321 | VTBR,60,20151222,150000,0.0777500,0.0779500,0.0775500,0.0779300,442080000
322 | VTBR,60,20151222,160000,0.0779100,0.0779500,0.0775000,0.0777200,559630000
323 | VTBR,60,20151222,170000,0.0777300,0.0779400,0.0774500,0.0775200,462280000
324 | VTBR,60,20151222,180000,0.0775200,0.0776700,0.0774100,0.0776000,258800000
325 | VTBR,60,20151222,190000,0.0776000,0.0779500,0.0774200,0.0774200,1152970000
326 | VTBR,60,20151223,110000,0.0773100,0.0781100,0.0773100,0.0779000,915000000
327 | VTBR,60,20151223,120000,0.0778800,0.0787500,0.0774600,0.0784300,1266420000
328 | VTBR,60,20151223,130000,0.0784500,0.0792400,0.0783700,0.0788600,1593760000
329 | VTBR,60,20151223,140000,0.0788500,0.0789400,0.0784900,0.0786900,789200000
330 | VTBR,60,20151223,150000,0.0786900,0.0789600,0.0785800,0.0788900,829680000
331 | VTBR,60,20151223,160000,0.0789400,0.0789400,0.0784700,0.0785000,407480000
332 | VTBR,60,20151223,170000,0.0785000,0.0786100,0.0778300,0.0780000,1165640000
333 | VTBR,60,20151223,180000,0.0780500,0.0784500,0.0777000,0.0784500,1020270000
334 | VTBR,60,20151223,190000,0.0784500,0.0786400,0.0780200,0.0786400,1231770000
335 | VTBR,60,20151224,110000,0.0788100,0.0789700,0.0781600,0.0783500,870390000
336 | VTBR,60,20151224,120000,0.0783000,0.0783500,0.0775000,0.0776600,958140000
337 | VTBR,60,20151224,130000,0.0775900,0.0775900,0.0771000,0.0772000,813960000
338 | VTBR,60,20151224,140000,0.0772000,0.0774100,0.0770400,0.0774000,532760000
339 | VTBR,60,20151224,150000,0.0773600,0.0776000,0.0772200,0.0774600,675840000
340 | VTBR,60,20151224,160000,0.0774000,0.0776000,0.0772600,0.0775300,349850000
341 | VTBR,60,20151224,170000,0.0774900,0.0776000,0.0771500,0.0772200,329080000
342 | VTBR,60,20151224,180000,0.0772100,0.0777500,0.0771700,0.0772800,326480000
343 | VTBR,60,20151224,190000,0.0772100,0.0772500,0.0767200,0.0770100,1139170000
344 | VTBR,60,20151225,110000,0.0773000,0.0778900,0.0770600,0.0776400,568810000
345 | VTBR,60,20151225,120000,0.0776700,0.0777300,0.0774700,0.0774900,103830000
346 | VTBR,60,20151225,130000,0.0774900,0.0775400,0.0769300,0.0772500,494170000
347 | VTBR,60,20151225,140000,0.0771700,0.0774700,0.0771200,0.0771200,169680000
348 | VTBR,60,20151225,150000,0.0771300,0.0772300,0.0763200,0.0764700,589060000
349 | VTBR,60,20151225,160000,0.0764700,0.0764700,0.0760200,0.0762400,1772590000
350 | VTBR,60,20151225,170000,0.0762500,0.0763000,0.0762000,0.0762300,424280000
351 | VTBR,60,20151225,180000,0.0762200,0.0764300,0.0762000,0.0763300,436280000
352 | VTBR,60,20151225,190000,0.0763800,0.0773900,0.0763000,0.0771000,2490070000
353 | VTBR,60,20151228,110000,0.0771000,0.0774400,0.0770000,0.0773600,988290000
354 | VTBR,60,20151228,120000,0.0773600,0.0773700,0.0770000,0.0770500,365180000
355 | VTBR,60,20151228,130000,0.0770500,0.0772500,0.0763600,0.0765200,639290000
356 | VTBR,60,20151228,140000,0.0764500,0.0764500,0.0761000,0.0763000,1050730000
357 | VTBR,60,20151228,150000,0.0762700,0.0763500,0.0760000,0.0763500,796280000
358 | VTBR,60,20151228,160000,0.0762900,0.0763900,0.0760300,0.0761000,319340000
359 | VTBR,60,20151228,170000,0.0761000,0.0761600,0.0760200,0.0761200,208470000
360 | VTBR,60,20151228,180000,0.0760800,0.0763700,0.0760000,0.0760400,785900000
361 | VTBR,60,20151228,190000,0.0760400,0.0763900,0.0760000,0.0760000,831390000
362 | VTBR,60,20151229,110000,0.0760200,0.0764000,0.0756300,0.0763900,658760000
363 | VTBR,60,20151229,120000,0.0763900,0.0772000,0.0761700,0.0769600,1456460000
364 | VTBR,60,20151229,130000,0.0769100,0.0771700,0.0766600,0.0767800,521270000
365 | VTBR,60,20151229,140000,0.0767800,0.0769300,0.0765100,0.0768100,204990000
366 | VTBR,60,20151229,150000,0.0768400,0.0769400,0.0767100,0.0768900,71800000
367 | VTBR,60,20151229,160000,0.0768900,0.0770500,0.0766700,0.0770500,751400000
368 | VTBR,60,20151229,170000,0.0770500,0.0774000,0.0770000,0.0771100,2818500000
369 | VTBR,60,20151229,180000,0.0771500,0.0774900,0.0770700,0.0773800,4236520000
370 | VTBR,60,20151229,190000,0.0773800,0.0784700,0.0773500,0.0782000,7756660000
371 | VTBR,60,20151230,110000,0.0783500,0.0787000,0.0775000,0.0775900,2617480000
372 | VTBR,60,20151230,120000,0.0775900,0.0784800,0.0773600,0.0780500,3379660000
373 | VTBR,60,20151230,130000,0.0780500,0.0782400,0.0777300,0.0781300,3593070000
374 | VTBR,60,20151230,140000,0.0781400,0.0784500,0.0780100,0.0780600,735510000
375 | VTBR,60,20151230,150000,0.0780500,0.0791800,0.0780400,0.0790800,5043500000
376 | VTBR,60,20151230,160000,0.0790800,0.0793000,0.0789000,0.0790300,4546730000
377 | VTBR,60,20151230,170000,0.0790200,0.0796000,0.0790000,0.0795900,9799380000
378 | VTBR,60,20151230,180000,0.0795300,0.0798600,0.0790700,0.0795200,14767540000
379 | VTBR,60,20151230,190000,0.0795800,0.0797000,0.0786400,0.0797000,32373610000
380 | 


--------------------------------------------------------------------------------
/ConsoleApp/Data/Hour/sber.csv:
--------------------------------------------------------------------------------
  1 | <TICKER>,<PER>,<DATE>,<TIME>,<OPEN>,<HIGH>,<LOW>,<CLOSE>,<VOL>
  2 | SBER,60,20151102,110000,90.2500000,90.6900000,89.6600000,90.1200000,10459350
  3 | SBER,60,20151102,120000,90.1300000,91.9000000,90.1000000,91.7500000,21664690
  4 | SBER,60,20151102,130000,91.7500000,92.3400000,91.4100000,92.0200000,16660250
  5 | SBER,60,20151102,140000,92.0200000,92.2800000,91.6600000,92.0900000,7806700
  6 | SBER,60,20151102,150000,92.0900000,93.6000000,92.0400000,93.0000000,26877040
  7 | SBER,60,20151102,160000,92.9900000,93.1800000,92.5500000,93.0700000,8743910
  8 | SBER,60,20151102,170000,93.0700000,93.2500000,92.3800000,92.7400000,8478360
  9 | SBER,60,20151102,180000,92.7500000,93.0900000,92.5000000,92.9200000,8359450
 10 | SBER,60,20151102,190000,92.9400000,93.8000000,92.8700000,93.6500000,15933260
 11 | SBER,60,20151103,110000,93.8600000,95.1000000,93.3200000,94.9500000,25948780
 12 | SBER,60,20151103,120000,94.9400000,95.2000000,94.0800000,94.3200000,21249660
 13 | SBER,60,20151103,130000,94.3200000,94.9000000,93.8800000,94.7500000,12429590
 14 | SBER,60,20151103,140000,94.7600000,95.0000000,94.4000000,94.4700000,11549470
 15 | SBER,60,20151103,150000,94.4500000,95.0000000,94.3200000,94.6200000,9660300
 16 | SBER,60,20151103,160000,94.6200000,94.7400000,94.1700000,94.3300000,7005250
 17 | SBER,60,20151103,170000,94.3300000,94.9300000,94.1700000,94.8500000,4813990
 18 | SBER,60,20151103,180000,94.8500000,94.9700000,94.3700000,94.6400000,6131090
 19 | SBER,60,20151103,190000,94.6400000,95.5900000,94.5500000,95.4000000,23604560
 20 | SBER,60,20151105,110000,96.0000000,96.4400000,94.6900000,94.7800000,29482900
 21 | SBER,60,20151105,120000,94.7800000,95.6800000,94.6000000,95.3000000,17747840
 22 | SBER,60,20151105,130000,95.2700000,95.4900000,94.8000000,95.2300000,10463730
 23 | SBER,60,20151105,140000,95.2300000,95.2800000,94.6200000,95.0500000,10137500
 24 | SBER,60,20151105,150000,95.0300000,95.4900000,94.9600000,95.4000000,6349380
 25 | SBER,60,20151105,160000,95.4100000,96.0500000,94.9100000,95.9000000,11286000
 26 | SBER,60,20151105,170000,95.9000000,96.6000000,95.6000000,95.9800000,16347500
 27 | SBER,60,20151105,180000,95.9800000,96.0700000,95.1800000,96.0000000,13805750
 28 | SBER,60,20151105,190000,95.9900000,96.0000000,95.4300000,95.5000000,11058570
 29 | SBER,60,20151106,110000,95.5000000,95.9100000,94.9000000,95.2300000,11001600
 30 | SBER,60,20151106,120000,95.2000000,95.5900000,94.9500000,95.2400000,11794380
 31 | SBER,60,20151106,130000,95.2400000,95.2500000,93.8500000,94.4600000,21725100
 32 | SBER,60,20151106,140000,94.4700000,94.7800000,94.3300000,94.5100000,8302060
 33 | SBER,60,20151106,150000,94.5100000,94.9000000,94.4500000,94.7600000,7899280
 34 | SBER,60,20151106,160000,94.7600000,94.8500000,94.2400000,94.5200000,7096060
 35 | SBER,60,20151106,170000,94.5100000,94.6800000,93.6300000,93.8100000,13623420
 36 | SBER,60,20151106,180000,93.8100000,94.3600000,93.6800000,93.7000000,10042980
 37 | SBER,60,20151106,190000,93.7100000,94.1400000,93.5700000,94.0900000,15077600
 38 | SBER,60,20151109,110000,94.4900000,94.6600000,93.7000000,94.2000000,7626310
 39 | SBER,60,20151109,120000,94.2000000,94.5900000,93.7100000,94.4500000,8011980
 40 | SBER,60,20151109,130000,94.4500000,94.7900000,93.3700000,93.7600000,16302750
 41 | SBER,60,20151109,140000,93.7500000,93.8000000,92.9800000,93.0000000,11637070
 42 | SBER,60,20151109,150000,93.0300000,93.8800000,92.8800000,93.8000000,9199910
 43 | SBER,60,20151109,160000,93.7900000,93.9900000,93.3600000,93.8200000,6446830
 44 | SBER,60,20151109,170000,93.8300000,93.9500000,93.3900000,93.4400000,3820500
 45 | SBER,60,20151109,180000,93.4400000,93.7200000,93.0600000,93.1600000,6304070
 46 | SBER,60,20151109,190000,93.1600000,93.3200000,92.7000000,92.9500000,9616160
 47 | SBER,60,20151110,110000,92.7600000,92.9500000,92.3000000,92.6700000,8255870
 48 | SBER,60,20151110,120000,92.6900000,92.8800000,92.4300000,92.5700000,6200460
 49 | SBER,60,20151110,130000,92.5700000,92.7300000,92.1000000,92.2300000,8476630
 50 | SBER,60,20151110,140000,92.2300000,92.3300000,92.0200000,92.2600000,5842010
 51 | SBER,60,20151110,150000,92.2600000,92.4500000,92.0800000,92.4000000,2376420
 52 | SBER,60,20151110,160000,92.4000000,93.3000000,92.2900000,92.9200000,11440580
 53 | SBER,60,20151110,170000,92.9500000,93.8100000,92.9200000,93.2600000,9716060
 54 | SBER,60,20151110,180000,93.2400000,93.7700000,93.1900000,93.5900000,6075820
 55 | SBER,60,20151110,190000,93.6500000,94.4200000,93.6300000,94.3500000,13023100
 56 | SBER,60,20151111,110000,94.2000000,94.4500000,93.8500000,94.3100000,8990290
 57 | SBER,60,20151111,120000,94.3100000,94.3400000,93.2200000,93.5600000,8669570
 58 | SBER,60,20151111,130000,93.5600000,94.0700000,93.5400000,93.7700000,4139320
 59 | SBER,60,20151111,140000,93.7700000,93.9500000,93.6200000,93.6500000,2448930
 60 | SBER,60,20151111,150000,93.6500000,93.9400000,93.4800000,93.6100000,2501930
 61 | SBER,60,20151111,160000,93.6100000,93.6100000,92.8100000,93.0300000,8944480
 62 | SBER,60,20151111,170000,93.0300000,93.6800000,92.6500000,93.6500000,8842690
 63 | SBER,60,20151111,180000,93.6400000,94.8600000,93.5600000,94.2200000,18586270
 64 | SBER,60,20151111,190000,94.2500000,94.4000000,93.1600000,94.0000000,14331740
 65 | SBER,60,20151112,110000,93.4300000,93.7100000,92.8800000,93.1300000,8222450
 66 | SBER,60,20151112,120000,93.1200000,93.9000000,93.0000000,93.9000000,7156090
 67 | SBER,60,20151112,130000,93.9000000,93.9300000,93.1000000,93.2400000,5628510
 68 | SBER,60,20151112,140000,93.2100000,93.6000000,93.0700000,93.3400000,4215030
 69 | SBER,60,20151112,150000,93.3400000,93.4800000,93.0100000,93.1500000,4528280
 70 | SBER,60,20151112,160000,93.1500000,93.2900000,92.6900000,93.1500000,7337970
 71 | SBER,60,20151112,170000,93.1500000,94.1400000,93.1500000,93.7300000,14421990
 72 | SBER,60,20151112,180000,93.7300000,94.3400000,93.5500000,94.3300000,10999110
 73 | SBER,60,20151112,190000,94.3400000,94.7700000,94.1000000,94.2900000,16611490
 74 | SBER,60,20151113,110000,93.4200000,93.7500000,92.9600000,93.4900000,10399470
 75 | SBER,60,20151113,120000,93.4500000,94.1700000,93.3700000,94.0800000,10861300
 76 | SBER,60,20151113,130000,94.0700000,94.3800000,93.7700000,94.1400000,5427450
 77 | SBER,60,20151113,140000,94.1400000,94.3900000,93.6500000,93.6800000,5161410
 78 | SBER,60,20151113,150000,93.7000000,93.8500000,93.2500000,93.7000000,9907590
 79 | SBER,60,20151113,160000,93.6900000,93.8800000,93.4400000,93.8100000,3299500
 80 | SBER,60,20151113,170000,93.8200000,94.3200000,93.5400000,93.9600000,7788790
 81 | SBER,60,20151113,180000,93.9400000,94.0500000,93.2500000,93.4800000,11050210
 82 | SBER,60,20151113,190000,93.4800000,93.6300000,93.1500000,93.4000000,14985800
 83 | SBER,60,20151116,110000,93.0900000,93.8000000,93.0100000,93.4800000,7446300
 84 | SBER,60,20151116,120000,93.4900000,94.0500000,93.2000000,93.8100000,10430360
 85 | SBER,60,20151116,130000,93.8100000,94.0000000,93.6000000,93.7600000,6203540
 86 | SBER,60,20151116,140000,93.7400000,94.6600000,93.7100000,94.6100000,9658920
 87 | SBER,60,20151116,150000,94.6100000,94.8000000,94.3500000,94.5500000,7233140
 88 | SBER,60,20151116,160000,94.5500000,94.7400000,94.4600000,94.5300000,4891440
 89 | SBER,60,20151116,170000,94.5400000,94.7300000,94.1100000,94.2500000,8215990
 90 | SBER,60,20151116,180000,94.2500000,95.5400000,94.2000000,95.2700000,16620540
 91 | SBER,60,20151116,190000,95.2500000,96.1400000,95.2300000,95.8000000,17301800
 92 | SBER,60,20151117,110000,96.5200000,97.7700000,96.5200000,97.6200000,25996770
 93 | SBER,60,20151117,120000,97.6200000,98.1000000,97.4600000,97.7400000,16356510
 94 | SBER,60,20151117,130000,97.7400000,99.8000000,97.7400000,99.5500000,28724060
 95 | SBER,60,20151117,140000,99.5300000,99.8000000,99.2100000,99.5200000,12698970
 96 | SBER,60,20151117,150000,99.5100000,100.1500000,99.4200000,99.7600000,17622080
 97 | SBER,60,20151117,160000,99.7300000,100.2000000,99.6200000,99.8100000,10558360
 98 | SBER,60,20151117,170000,99.7900000,100.4500000,99.5600000,100.3400000,11528180
 99 | SBER,60,20151117,180000,100.3200000,101.2700000,100.2600000,101.2200000,31155100
100 | SBER,60,20151117,190000,101.2400000,102.6700000,101.2300000,102.5000000,26100100
101 | SBER,60,20151118,110000,102.7800000,104.3200000,101.7400000,102.4700000,33336990
102 | SBER,60,20151118,120000,102.4900000,103.2800000,102.0000000,102.6000000,18100100
103 | SBER,60,20151118,130000,102.5900000,102.9900000,102.3000000,102.8400000,6375570
104 | SBER,60,20151118,140000,102.8400000,103.9500000,102.8100000,103.5900000,14342090
105 | SBER,60,20151118,150000,103.5800000,104.5900000,103.4200000,104.1000000,15302490
106 | SBER,60,20151118,160000,104.0700000,104.4700000,103.9500000,104.0700000,11923620
107 | SBER,60,20151118,170000,104.0400000,104.4300000,103.7000000,104.2900000,10611010
108 | SBER,60,20151118,180000,104.3000000,104.3000000,103.3100000,104.1500000,15813210
109 | SBER,60,20151118,190000,104.1500000,104.1900000,103.9100000,104.0000000,10660120
110 | SBER,60,20151119,110000,104.6300000,105.8000000,102.5400000,103.2200000,28617650
111 | SBER,60,20151119,120000,103.2000000,104.5900000,103.0800000,104.3000000,13534340
112 | SBER,60,20151119,130000,104.3000000,104.4800000,103.5900000,104.4400000,11442690
113 | SBER,60,20151119,140000,104.4400000,106.6400000,104.4000000,106.4000000,23630700
114 | SBER,60,20151119,150000,106.4000000,108.5500000,106.4000000,108.3500000,38391670
115 | SBER,60,20151119,160000,108.3400000,108.4400000,106.4600000,106.5500000,22940860
116 | SBER,60,20151119,170000,106.5400000,107.0400000,106.4100000,106.5400000,14228480
117 | SBER,60,20151119,180000,106.5400000,107.4800000,105.7400000,106.8200000,20833210
118 | SBER,60,20151119,190000,106.7800000,106.8500000,104.6000000,104.8600000,17358040
119 | SBER,60,20151120,110000,104.3400000,105.3800000,103.6700000,105.2700000,16246040
120 | SBER,60,20151120,120000,105.2700000,106.2000000,105.0600000,105.8800000,14029280
121 | SBER,60,20151120,130000,105.8900000,105.9500000,104.6000000,105.0300000,9811550
122 | SBER,60,20151120,140000,105.0500000,105.2000000,104.6000000,104.8400000,3808340
123 | SBER,60,20151120,150000,104.8200000,104.8800000,103.1900000,104.1000000,16512410
124 | SBER,60,20151120,160000,104.1000000,105.1500000,104.0200000,104.8000000,11075670
125 | SBER,60,20151120,170000,104.7800000,106.1000000,104.6500000,105.6800000,11053640
126 | SBER,60,20151120,180000,105.6800000,106.9500000,105.4000000,106.2400000,16878850
127 | SBER,60,20151120,190000,106.2600000,107.3000000,106.2100000,107.3000000,14250010
128 | SBER,60,20151123,110000,106.8500000,107.4300000,105.2200000,107.4300000,24405790
129 | SBER,60,20151123,120000,107.4300000,108.4400000,106.6700000,107.0700000,36730440
130 | SBER,60,20151123,130000,107.0700000,108.0500000,107.0200000,107.5200000,8783130
131 | SBER,60,20151123,140000,107.5500000,107.6000000,107.0000000,107.3300000,7136670
132 | SBER,60,20151123,150000,107.3200000,108.3100000,107.1200000,107.9300000,12078790
133 | SBER,60,20151123,160000,107.9500000,110.3200000,107.7200000,109.3200000,39514220
134 | SBER,60,20151123,170000,109.3200000,110.0000000,109.1100000,109.7300000,13062290
135 | SBER,60,20151123,180000,109.7300000,110.1100000,109.1100000,109.1700000,17334090
136 | SBER,60,20151123,190000,109.2000000,110.1100000,108.8600000,109.9800000,14131900
137 | SBER,60,20151124,110000,109.8300000,110.7000000,108.7200000,108.7700000,22173310
138 | SBER,60,20151124,120000,108.8100000,109.5500000,107.6400000,107.9500000,29278100
139 | SBER,60,20151124,130000,107.9600000,108.7300000,107.6800000,108.4900000,9940360
140 | SBER,60,20151124,140000,108.4600000,108.4900000,106.5000000,106.5500000,17879430
141 | SBER,60,20151124,150000,106.5500000,107.9100000,106.3300000,107.4600000,11511470
142 | SBER,60,20151124,160000,107.4500000,107.5100000,105.9000000,106.5700000,17226390
143 | SBER,60,20151124,170000,106.5600000,106.6900000,105.1500000,105.2500000,17660230
144 | SBER,60,20151124,180000,105.2300000,105.7900000,105.1500000,105.5500000,15081350
145 | SBER,60,20151124,190000,105.5500000,106.0000000,105.1500000,105.6000000,13373890
146 | SBER,60,20151125,110000,106.2100000,107.8000000,106.0300000,107.2000000,21587200
147 | SBER,60,20151125,120000,107.2000000,107.2900000,106.4000000,107.1500000,12684300
148 | SBER,60,20151125,130000,107.1200000,107.4800000,106.1500000,106.5000000,10970590
149 | SBER,60,20151125,140000,106.5000000,106.7700000,105.4400000,105.9300000,15525080
150 | SBER,60,20151125,150000,105.9400000,107.3000000,105.6500000,106.9800000,11269380
151 | SBER,60,20151125,160000,107.0000000,107.4000000,106.5000000,107.3800000,8298560
152 | SBER,60,20151125,170000,107.3600000,108.0000000,107.2500000,107.3400000,14554340
153 | SBER,60,20151125,180000,107.3600000,107.8000000,107.2500000,107.7000000,7498110
154 | SBER,60,20151125,190000,107.7000000,108.9400000,107.5100000,108.5100000,17051260
155 | SBER,60,20151126,110000,108.7800000,109.3000000,107.7900000,108.3800000,10789660
156 | SBER,60,20151126,120000,108.3700000,108.5700000,107.6100000,107.8200000,7731380
157 | SBER,60,20151126,130000,107.8200000,108.2600000,107.4400000,107.9900000,5704430
158 | SBER,60,20151126,140000,107.9900000,109.1500000,107.9500000,108.6900000,9789210
159 | SBER,60,20151126,150000,108.7000000,108.8900000,107.7000000,107.8500000,6794020
160 | SBER,60,20151126,160000,107.8500000,108.1000000,106.7000000,107.0400000,12125440
161 | SBER,60,20151126,170000,107.0400000,107.1900000,106.0300000,106.2400000,11346340
162 | SBER,60,20151126,180000,106.2900000,106.4600000,105.6000000,105.7100000,8200080
163 | SBER,60,20151126,190000,105.7000000,106.5000000,105.6300000,106.4800000,8113600
164 | SBER,60,20151127,110000,105.7400000,106.0600000,104.1000000,104.8900000,18454940
165 | SBER,60,20151127,120000,104.8900000,105.5900000,104.5500000,105.2200000,9216990
166 | SBER,60,20151127,130000,105.2200000,105.3400000,104.2600000,104.6800000,11641570
167 | SBER,60,20151127,140000,104.6800000,104.9800000,104.2700000,104.6600000,5674330
168 | SBER,60,20151127,150000,104.6600000,105.1000000,104.0000000,104.0000000,11160390
169 | SBER,60,20151127,160000,104.0400000,104.9600000,103.7000000,104.8300000,12917910
170 | SBER,60,20151127,170000,104.8000000,105.5700000,104.5500000,104.7100000,10466650
171 | SBER,60,20151127,180000,104.7300000,105.3000000,104.7300000,105.0300000,7056380
172 | SBER,60,20151127,190000,105.0300000,105.1800000,104.5500000,104.5500000,6657510
173 | SBER,60,20151130,110000,103.9000000,105.1400000,103.9000000,104.9400000,10101050
174 | SBER,60,20151130,120000,104.9600000,105.9000000,104.6000000,104.6500000,11203150
175 | SBER,60,20151130,130000,104.6200000,105.5000000,103.8200000,104.3200000,11034890
176 | SBER,60,20151130,140000,104.3500000,105.4200000,104.0900000,105.1600000,8460700
177 | SBER,60,20151130,150000,105.2000000,105.6900000,104.7000000,104.7500000,8074990
178 | SBER,60,20151130,160000,104.7900000,105.2000000,104.3200000,104.7700000,5115050
179 | SBER,60,20151130,170000,104.8000000,105.0500000,104.4300000,104.6700000,3313260
180 | SBER,60,20151130,180000,104.7100000,105.4000000,104.5100000,104.8700000,7207090
181 | SBER,60,20151130,190000,104.8700000,104.9600000,102.7500000,102.9000000,22583760
182 | SBER,60,20151201,110000,103.5100000,103.9000000,102.6000000,103.0800000,14103880
183 | SBER,60,20151201,120000,103.0800000,103.2300000,102.6500000,102.7700000,8355120
184 | SBER,60,20151201,130000,102.7700000,103.3900000,101.7200000,101.7600000,17917260
185 | SBER,60,20151201,140000,101.7600000,102.4700000,101.6500000,102.0000000,10873650
186 | SBER,60,20151201,150000,102.0000000,102.4000000,101.7600000,101.8900000,5870660
187 | SBER,60,20151201,160000,101.8900000,102.2700000,101.5600000,102.0600000,6149420
188 | SBER,60,20151201,170000,102.0300000,102.0700000,100.9400000,101.3600000,12357330
189 | SBER,60,20151201,180000,101.3500000,101.7200000,100.6200000,100.6700000,11597790
190 | SBER,60,20151201,190000,100.7000000,101.3000000,100.6000000,101.3000000,11515810
191 | SBER,60,20151202,110000,101.4900000,102.9500000,101.1500000,102.7600000,14971760
192 | SBER,60,20151202,120000,102.8000000,103.4900000,102.6000000,102.6200000,13505910
193 | SBER,60,20151202,130000,102.6400000,103.1700000,101.5000000,101.6100000,15103580
194 | SBER,60,20151202,140000,101.6400000,102.2800000,101.6100000,101.7500000,6865550
195 | SBER,60,20151202,150000,101.7700000,101.9200000,101.2000000,101.6100000,6486120
196 | SBER,60,20151202,160000,101.5700000,102.3300000,101.3200000,102.3200000,8937750
197 | SBER,60,20151202,170000,102.3200000,102.4900000,101.4500000,101.6000000,8800500
198 | SBER,60,20151202,180000,101.6000000,102.6000000,101.5500000,102.3400000,6316920
199 | SBER,60,20151202,190000,102.3400000,102.9900000,102.1000000,102.5000000,8691350
200 | SBER,60,20151203,110000,101.9100000,103.3000000,101.8000000,102.7800000,11845100
201 | SBER,60,20151203,120000,102.8000000,103.1500000,102.5000000,102.8600000,6898340
202 | SBER,60,20151203,130000,102.8500000,103.0100000,102.3500000,102.8300000,7835220
203 | SBER,60,20151203,140000,102.8300000,102.8300000,101.5000000,102.0500000,11547730
204 | SBER,60,20151203,150000,102.0700000,102.5500000,101.7100000,102.4500000,5724730
205 | SBER,60,20151203,160000,102.4800000,103.0300000,102.2000000,103.0000000,7012850
206 | SBER,60,20151203,170000,102.9800000,105.0200000,102.9800000,104.1900000,28091990
207 | SBER,60,20151203,180000,104.1900000,104.5200000,103.6700000,104.1700000,8644020
208 | SBER,60,20151203,190000,104.1300000,104.2600000,103.8600000,104.0000000,8730870
209 | SBER,60,20151204,110000,103.7000000,104.9200000,103.5000000,103.8400000,13840200
210 | SBER,60,20151204,120000,103.8500000,104.8000000,103.5000000,104.5700000,10289920
211 | SBER,60,20151204,130000,104.6100000,105.4800000,104.3300000,105.2100000,12265130
212 | SBER,60,20151204,140000,105.1800000,105.6700000,104.6700000,104.7600000,7147560
213 | SBER,60,20151204,150000,104.7300000,105.0600000,104.1800000,104.7600000,6181430
214 | SBER,60,20151204,160000,104.7600000,104.9600000,104.1000000,104.7300000,5566210
215 | SBER,60,20151204,170000,104.7400000,105.2400000,103.7000000,104.1000000,12371960
216 | SBER,60,20151204,180000,104.1000000,104.1600000,102.2500000,102.6600000,28698840
217 | SBER,60,20151204,190000,102.6600000,103.2800000,102.4000000,103.0500000,11120860
218 | SBER,60,20151207,110000,103.4500000,104.1300000,102.8500000,103.9500000,8766200
219 | SBER,60,20151207,120000,103.9800000,104.4500000,103.5600000,103.8000000,10393100
220 | SBER,60,20151207,130000,103.8200000,104.2000000,102.8000000,102.9500000,11128000
221 | SBER,60,20151207,140000,102.9500000,103.7500000,102.8500000,103.6500000,6641530
222 | SBER,60,20151207,150000,103.6100000,104.2900000,103.4500000,104.1100000,8858250
223 | SBER,60,20151207,160000,104.1300000,104.9000000,104.1300000,104.5500000,10031080
224 | SBER,60,20151207,170000,104.5500000,104.7700000,103.5500000,103.7000000,7715050
225 | SBER,60,20151207,180000,103.6500000,103.9700000,103.2900000,103.5500000,9931410
226 | SBER,60,20151207,190000,103.5400000,103.6600000,102.7800000,103.0000000,17842550
227 | SBER,60,20151208,110000,102.8100000,103.0800000,101.4400000,101.5000000,14519370
228 | SBER,60,20151208,120000,101.5000000,101.8200000,100.7000000,101.0100000,22086530
229 | SBER,60,20151208,130000,101.0300000,101.7600000,100.7100000,101.5200000,11177210
230 | SBER,60,20151208,140000,101.5200000,101.5400000,100.9000000,101.1300000,6335810
231 | SBER,60,20151208,150000,101.1100000,101.2900000,100.9500000,101.0800000,3747410
232 | SBER,60,20151208,160000,101.1000000,101.1400000,100.0000000,100.2300000,20909670
233 | SBER,60,20151208,170000,100.2100000,100.2300000,98.6100000,98.6500000,23981670
234 | SBER,60,20151208,180000,98.6500000,99.0700000,97.0800000,97.1200000,39427750
235 | SBER,60,20151208,190000,97.1200000,97.6900000,96.9500000,97.0000000,17006900
236 | SBER,60,20151209,110000,97.4800000,98.8200000,97.2400000,98.7400000,19281500
237 | SBER,60,20151209,120000,98.7200000,99.2500000,98.5200000,98.9200000,18150700
238 | SBER,60,20151209,130000,98.9200000,98.9500000,98.0500000,98.3700000,8581870
239 | SBER,60,20151209,140000,98.3800000,99.6300000,98.3500000,98.9600000,13093370
240 | SBER,60,20151209,150000,98.9500000,99.3000000,97.7500000,97.8500000,9780420
241 | SBER,60,20151209,160000,97.8500000,98.9200000,97.7500000,98.7700000,7789690
242 | SBER,60,20151209,170000,98.7800000,99.3000000,98.5600000,98.8000000,6384830
243 | SBER,60,20151209,180000,98.8000000,99.8900000,98.7200000,99.5400000,13557690
244 | SBER,60,20151209,190000,99.5400000,101.0500000,99.3500000,100.6600000,22357070
245 | SBER,60,20151210,110000,100.2500000,101.3300000,99.6700000,100.8900000,17908370
246 | SBER,60,20151210,120000,100.8600000,101.2000000,100.1400000,101.0900000,11371610
247 | SBER,60,20151210,130000,101.0900000,101.5400000,100.7000000,101.5000000,9799480
248 | SBER,60,20151210,140000,101.5000000,101.6000000,100.3700000,100.9500000,7310800
249 | SBER,60,20151210,150000,100.9500000,101.3500000,100.7600000,101.1200000,3963910
250 | SBER,60,20151210,160000,101.1200000,101.7500000,100.7500000,101.3200000,6589750
251 | SBER,60,20151210,170000,101.3300000,101.5000000,100.0300000,100.7000000,11429390
252 | SBER,60,20151210,180000,100.7000000,101.4400000,100.3000000,100.8200000,11543350
253 | SBER,60,20151210,190000,100.8200000,100.9000000,99.8700000,100.1300000,8965700
254 | SBER,60,20151211,110000,99.8800000,100.2000000,99.6000000,99.8700000,6345280
255 | SBER,60,20151211,120000,99.9100000,100.2700000,99.8300000,100.0800000,7351900
256 | SBER,60,20151211,130000,100.0700000,100.2000000,98.7100000,99.6200000,20803410
257 | SBER,60,20151211,140000,99.6200000,100.5900000,99.5000000,99.6600000,16653610
258 | SBER,60,20151211,150000,99.6700000,99.6700000,98.8700000,99.1200000,9426700
259 | SBER,60,20151211,160000,99.1200000,99.1200000,98.3100000,98.6300000,7048670
260 | SBER,60,20151211,170000,98.6000000,99.2700000,98.4500000,98.9600000,6089620
261 | SBER,60,20151211,180000,98.9600000,99.0700000,98.1000000,98.2900000,6529540
262 | SBER,60,20151211,190000,98.2800000,98.6000000,97.7600000,98.1500000,10661270
263 | SBER,60,20151214,110000,97.6000000,98.2800000,97.5200000,98.0000000,10983240
264 | SBER,60,20151214,120000,97.9900000,98.3700000,97.6200000,98.0900000,18033370
265 | SBER,60,20151214,130000,98.0800000,98.2000000,97.6400000,98.0200000,5937330
266 | SBER,60,20151214,140000,98.0200000,98.3000000,97.7500000,97.9600000,3904220
267 | SBER,60,20151214,150000,97.9600000,98.0800000,96.9900000,97.0500000,13521990
268 | SBER,60,20151214,160000,97.0600000,97.1900000,96.2300000,96.5100000,15933040
269 | SBER,60,20151214,170000,96.5100000,97.2000000,96.4000000,96.9500000,13703340
270 | SBER,60,20151214,180000,96.9500000,97.5600000,96.5700000,97.0400000,10842730
271 | SBER,60,20151214,190000,97.0300000,97.7000000,97.0000000,97.7000000,8943980
272 | SBER,60,20151215,110000,98.3600000,99.4000000,98.2400000,98.9000000,16321320
273 | SBER,60,20151215,120000,98.9000000,99.8000000,98.7500000,99.7000000,13580550
274 | SBER,60,20151215,130000,99.7000000,100.4000000,99.5700000,99.7200000,14900100
275 | SBER,60,20151215,140000,99.7500000,100.3000000,99.7100000,99.8500000,7644430
276 | SBER,60,20151215,150000,99.8400000,100.7000000,99.8000000,100.5700000,6324030
277 | SBER,60,20151215,160000,100.5600000,100.7900000,100.0100000,100.0700000,5251750
278 | SBER,60,20151215,170000,100.0300000,100.4000000,99.6200000,100.1500000,7558170
279 | SBER,60,20151215,180000,100.1300000,100.7700000,99.9200000,100.4700000,8386830
280 | SBER,60,20151215,190000,100.4700000,100.6100000,100.0000000,100.0000000,7447810
281 | SBER,60,20151216,110000,100.2600000,101.4300000,100.0700000,101.3400000,11724220
282 | SBER,60,20151216,120000,101.3400000,102.2000000,101.2300000,101.8600000,15746520
283 | SBER,60,20151216,130000,101.8500000,101.9000000,101.3000000,101.8000000,6551610
284 | SBER,60,20151216,140000,101.8300000,102.1000000,101.5300000,101.8500000,4230810
285 | SBER,60,20151216,150000,101.8500000,102.0500000,101.6000000,101.6800000,3926380
286 | SBER,60,20151216,160000,101.6900000,101.8300000,101.3500000,101.7000000,4849750
287 | SBER,60,20151216,170000,101.7100000,102.0900000,101.7100000,102.0000000,5645600
288 | SBER,60,20151216,180000,102.0000000,102.5000000,102.0000000,102.2900000,10649110
289 | SBER,60,20151216,190000,102.2900000,102.4500000,101.9900000,102.4500000,7195150
290 | SBER,60,20151217,110000,102.8500000,104.9400000,102.8500000,104.6600000,22190860
291 | SBER,60,20151217,120000,104.6600000,104.7800000,104.0200000,104.2700000,15952510
292 | SBER,60,20151217,130000,104.2800000,104.5000000,102.5500000,102.9000000,16953470
293 | SBER,60,20151217,140000,102.9000000,103.4500000,102.7800000,103.3700000,7336560
294 | SBER,60,20151217,150000,103.3900000,104.4500000,103.2000000,104.1600000,11775440
295 | SBER,60,20151217,160000,104.1700000,104.4700000,103.7300000,103.9400000,8518720
296 | SBER,60,20151217,170000,103.9800000,104.7100000,103.8000000,104.6800000,7717820
297 | SBER,60,20151217,180000,104.6800000,105.1400000,104.2200000,105.0500000,15108310
298 | SBER,60,20151217,190000,105.0500000,105.1800000,103.6100000,103.7500000,14492060
299 | SBER,60,20151218,110000,103.0500000,103.1800000,101.8800000,101.9100000,12247780
300 | SBER,60,20151218,120000,101.9100000,101.9900000,100.7000000,100.9300000,15647730
301 | SBER,60,20151218,130000,100.9400000,101.1800000,100.3000000,100.6200000,11622080
302 | SBER,60,20151218,140000,100.6000000,101.1000000,100.0000000,100.7400000,11817670
303 | SBER,60,20151218,150000,100.7100000,100.9600000,99.7600000,100.1900000,10222860
304 | SBER,60,20151218,160000,100.2100000,100.4400000,99.3700000,99.4600000,10630930
305 | SBER,60,20151218,170000,99.4500000,99.4800000,98.8000000,99.0000000,11813870
306 | SBER,60,20151218,180000,99.0000000,99.9000000,98.9800000,99.4000000,9807870
307 | SBER,60,20151218,190000,99.3800000,99.4500000,98.8100000,98.8100000,14928860
308 | SBER,60,20151221,110000,98.9400000,99.3700000,97.6500000,98.4800000,15800710
309 | SBER,60,20151221,120000,98.4800000,100.3700000,98.1500000,100.3000000,14638330
310 | SBER,60,20151221,130000,100.3300000,100.8000000,99.7100000,100.1500000,11556160
311 | SBER,60,20151221,140000,100.1700000,100.3400000,99.7800000,99.9700000,5336890
312 | SBER,60,20151221,150000,100.0000000,100.5900000,99.8000000,99.9900000,5317710
313 | SBER,60,20151221,160000,100.0000000,100.3000000,98.6000000,98.8200000,7873240
314 | SBER,60,20151221,170000,98.8200000,99.6300000,98.4000000,98.5600000,7167150
315 | SBER,60,20151221,180000,98.5400000,98.7700000,98.0200000,98.2400000,8159890
316 | SBER,60,20151221,190000,98.2800000,99.2900000,98.1900000,98.7300000,5500760
317 | SBER,60,20151222,110000,99.5000000,99.9900000,99.2700000,99.8900000,7281560
318 | SBER,60,20151222,120000,99.9200000,100.4000000,99.7500000,100.2000000,11351510
319 | SBER,60,20151222,130000,100.1800000,100.2900000,99.1000000,99.6800000,7981890
320 | SBER,60,20151222,140000,99.6700000,99.9000000,99.3200000,99.4400000,3003520
321 | SBER,60,20151222,150000,99.4400000,99.9700000,99.1800000,99.8000000,3467720
322 | SBER,60,20151222,160000,99.8000000,99.9200000,99.4200000,99.6200000,2313650
323 | SBER,60,20151222,170000,99.6200000,100.1000000,99.4500000,99.5300000,5188160
324 | SBER,60,20151222,180000,99.5300000,99.8000000,99.3300000,99.6900000,3118600
325 | SBER,60,20151222,190000,99.6900000,100.1200000,99.6300000,99.8000000,5047830
326 | SBER,60,20151223,110000,100.1500000,101.2900000,100.1300000,100.8000000,13763600
327 | SBER,60,20151223,120000,100.8000000,101.1900000,100.4800000,101.1500000,7575630
328 | SBER,60,20151223,130000,101.1600000,102.4200000,101.1400000,102.2500000,15772390
329 | SBER,60,20151223,140000,102.2500000,102.2500000,101.8800000,102.1900000,4243040
330 | SBER,60,20151223,150000,102.1800000,102.7700000,102.1000000,102.5600000,6017740
331 | SBER,60,20151223,160000,102.5700000,102.8300000,102.1000000,102.7500000,4569600
332 | SBER,60,20151223,170000,102.7700000,102.9000000,102.2400000,102.4300000,5713520
333 | SBER,60,20151223,180000,102.4300000,102.8500000,101.9200000,102.7000000,7683470
334 | SBER,60,20151223,190000,102.6800000,102.9600000,102.3600000,102.9600000,6903840
335 | SBER,60,20151224,110000,103.7000000,103.8900000,103.0000000,103.1700000,12685020
336 | SBER,60,20151224,120000,103.1500000,103.2000000,101.6300000,101.9700000,12385030
337 | SBER,60,20151224,130000,101.9600000,101.9600000,101.0100000,101.2200000,9993100
338 | SBER,60,20151224,140000,101.1900000,101.1900000,100.4000000,100.6400000,9163490
339 | SBER,60,20151224,150000,100.6100000,101.5900000,100.5400000,101.5700000,6719180
340 | SBER,60,20151224,160000,101.5300000,102.3900000,101.3800000,101.8400000,7363510
341 | SBER,60,20151224,170000,101.8600000,102.2400000,101.2900000,101.6900000,3725450
342 | SBER,60,20151224,180000,101.6800000,102.1500000,101.3000000,101.3900000,4151930
343 | SBER,60,20151224,190000,101.3600000,101.4700000,100.7000000,101.3500000,5914100
344 | SBER,60,20151225,110000,101.8300000,102.0000000,101.3900000,101.7500000,3546110
345 | SBER,60,20151225,120000,101.7700000,102.1800000,101.4100000,102.0500000,3478720
346 | SBER,60,20151225,130000,102.0500000,102.3200000,101.8000000,102.0600000,3582260
347 | SBER,60,20151225,140000,102.0600000,102.2700000,101.6300000,101.7400000,1465930
348 | SBER,60,20151225,150000,101.7200000,101.7700000,101.1500000,101.6300000,2294000
349 | SBER,60,20151225,160000,101.6300000,101.8200000,100.7800000,100.9700000,4494810
350 | SBER,60,20151225,170000,100.9500000,101.4400000,100.8000000,101.1400000,3629680
351 | SBER,60,20151225,180000,101.1300000,101.3900000,101.0000000,101.2600000,1724200
352 | SBER,60,20151225,190000,101.2700000,101.4400000,101.1000000,101.3400000,1946750
353 | SBER,60,20151228,110000,101.2500000,101.5400000,99.8500000,100.1300000,9691300
354 | SBER,60,20151228,120000,100.1300000,100.1900000,99.6500000,100.0100000,4799850
355 | SBER,60,20151228,130000,100.0100000,100.4200000,99.7700000,99.8800000,3865390
356 | SBER,60,20151228,140000,99.8900000,100.0100000,99.4600000,99.6900000,4777400
357 | SBER,60,20151228,150000,99.7100000,99.9900000,99.5100000,99.9500000,2298340
358 | SBER,60,20151228,160000,99.9400000,100.1900000,99.5900000,100.0400000,2758450
359 | SBER,60,20151228,170000,100.0400000,100.3800000,99.7600000,100.0300000,2533880
360 | SBER,60,20151228,180000,100.0600000,100.4400000,99.8000000,99.8600000,2896040
361 | SBER,60,20151228,190000,99.8500000,100.2400000,99.7000000,100.2000000,3297110
362 | SBER,60,20151229,110000,100.4200000,100.8400000,99.7400000,100.2100000,4580160
363 | SBER,60,20151229,120000,100.2500000,102.5000000,100.2500000,102.1700000,15521830
364 | SBER,60,20151229,130000,102.1300000,102.4400000,101.7500000,101.8400000,5388220
365 | SBER,60,20151229,140000,101.8300000,101.8500000,101.4000000,101.6600000,4500020
366 | SBER,60,20151229,150000,101.6700000,101.9500000,101.1800000,101.3000000,1681510
367 | SBER,60,20151229,160000,101.2900000,101.3200000,99.8300000,100.1000000,17237520
368 | SBER,60,20151229,170000,100.1000000,100.9500000,100.0300000,100.8300000,10956700
369 | SBER,60,20151229,180000,100.8100000,101.1900000,100.5500000,100.9800000,6314130
370 | SBER,60,20151229,190000,101.0500000,101.9500000,100.9700000,101.8200000,6487970
371 | SBER,60,20151230,110000,101.6700000,101.7500000,100.6800000,101.0500000,6006560
372 | SBER,60,20151230,120000,101.0700000,101.6200000,100.4700000,101.2400000,6123280
373 | SBER,60,20151230,130000,101.1900000,101.1900000,100.5700000,100.9400000,4331460
374 | SBER,60,20151230,140000,100.9400000,101.3600000,100.7100000,101.0400000,3361370
375 | SBER,60,20151230,150000,100.9900000,101.0600000,100.8000000,100.9300000,1483150
376 | SBER,60,20151230,160000,100.9100000,101.0300000,100.7100000,100.8800000,1353680
377 | SBER,60,20151230,170000,100.9100000,101.8500000,100.8300000,101.4400000,5554850
378 | SBER,60,20151230,180000,101.4400000,101.6500000,100.9100000,101.2300000,5655330
379 | SBER,60,20151230,190000,101.2700000,101.5700000,101.1700000,101.2600000,4990080
380 | 


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