public SpreadStrategy(
ISearcher searcher,
IStakingService stakingService,
SpreadParameters parameters)
{
_searcher = searcher;
_stakingService = stakingService;
_parameters = parameters;
}
public void SpreadStrategyTest()
{
var data = CreateMarketData();
var parameters = new SpreadParameters();
var target = SimulateStrategy(data, x => x.Create(parameters));
var actual = ToApprovedString(target);
Approvals.Verify(actual);
}
public void Optimise(DateTime fromDate, DateTime toDate)
{
_stakingService.Evaluate(fromDate, toDate);
var potentials = Enumerable.Range(0, 100)
.Select(x => new SpreadParameters {
Threshold = (decimal)x / 100
});
var optimum = _searcher.Maximum(potentials, fromDate, toDate);
_parameters = (SpreadParameters)optimum;
}
public IStrategy Create(IParameters parameters)
{
return(parameters switch
{
LinearRegressionParameters p => Create(p),
RelativeStrengthParameters p => Create(p),
DeltaParameters p => Create(p),
VolumeParameters p => Create(p),
GradientParameters p => Create(p),
EntropyParameters p => Create(p),
StaticDatesParameters p => Create(p),
MovingAverageParameters p => Create(p),
HolidayEffectParameters p => Create(p),
WeightedParameters p => Create(p),
OptimalStoppingParameters p => Create(p),
ProbabilityParameters p => Create(p),
SpreadParameters p => Create(p),
ClusteringParameters p => Create(p),
_ => throw new NotImplementedException(),
});
