public override object Eval(Context evaluationContext)
{
if (Type == typeof(PredefinedDataSet))
return PredefinedDataSetEval(evaluationContext);
return evaluationContext.ValuesTable[this.Name];
}
public override object Eval(Context evaluationContext)
{
if (LeftExpression.Type == typeof(bool) && RightExpression.Type == typeof(bool))
return (bool)LeftExpression.Eval(evaluationContext) || (bool)RightExpression.Eval(evaluationContext);
else
throw new Exception("Unknown Type.");
}
public override object Eval(Context evaluationContext)
{
var set = (IEnumerable<object>) RightExpression.Eval(evaluationContext);
var element = LeftExpression.Eval(evaluationContext);
return set.Contains(element);
}
public override object Eval(Context evaluationContext)
{
if (LeftExpression.Type == typeof(int) && RightExpression.Type == typeof(int))
return (int)LeftExpression.Eval(evaluationContext) - (int)RightExpression.Eval(evaluationContext);
else if (LeftExpression.Type == typeof(decimal) || RightExpression.Type == typeof(decimal))
return (decimal)LeftExpression.Eval(evaluationContext) - (decimal)RightExpression.Eval(evaluationContext);
else
throw new Exception("Unknown Type.");
}
public override object Eval(Context evaluationContext)
{
var set = (IEnumerable<object>)RightExpression.Eval(evaluationContext);
var element = LeftExpression.Eval(evaluationContext);
if (set.All(s => s == null))
return true;
return !set.Contains(element);
}
public override object Eval(Context evaluationContext)
{
object target = Variable.Eval(evaluationContext);
// property access through reflection
var propertyInfo = target.GetType().GetProperty(_propertyName);
if (propertyInfo != null)
return propertyInfo.GetValue(target, null);
else
throw new Exception(String.Format("The property ({0}) of this variable {1} is not valid: ",
_propertyName, Variable.Name));
}
public override object Eval(Context evaluationContext)
{
object left = LeftExpression.Eval(evaluationContext);
object right = RightExpression.Eval(evaluationContext);
if (left.GetType() == typeof(decimal))
{
if (right.GetType() == typeof(int))
return (decimal)left > (int)right;
else
return (decimal)left > (decimal)right;
}
else
{
if (right.GetType() == typeof(int))
return (int)left > (int)right;
else
return (int)left > (decimal)right;
}
}
public override void Initialize(DateTime startDate, DateTime endDate, Context evaluationContext)
{
_length = (int) _lengthExpr.Eval(evaluationContext);
Initialize(startDate, endDate);
}
public virtual void Initialize(DateTime startDate, DateTime endDate, Context evaluationContext){
Initialize(startDate,endDate);
}
public override object Eval(Context evaluationContext)
{
return LeftExpression.Eval(evaluationContext) != RightExpression.Eval(evaluationContext);
}
public abstract object Eval(Context evaluationContext);
/// <summary>
/// for pre-defined set, they are Top3Currencies or Bottom3Currencies
/// </summary>
/// <param name="evaluationContext"></param>
/// <returns></returns>
public object PredefinedDataSetEval(Context evaluationContext)
{
var result = evaluationContext.PredefinedDataContainer.GetData(Name, evaluationContext.CurrentDate);
return result;
}
/// <summary>
/// The method for executing the trading strategy.
/// The result are the position records that located in the position sets
/// </summary>
/// <param name="tradingStrategy">the trading strategy</param>
/// <param name="startDate">start date of back-testing</param>
/// <param name="endDate">end date of back-testing</param>
public void Execute(TradingStrategy tradingStrategy, DateTime startDate, DateTime endDate)
{
Currency baseCurrency = _currencyTable[tradingStrategy.Portfolio.HomeCurrency];
// initialize evaluation context
var collectionDataContainer = new PredefinedDataContainer();
collectionDataContainer.Add(new Top3Currencies(_currencyDataSource, baseCurrency)); // predefined data set "Top3Currencies"
collectionDataContainer.Add(new Bottom3Currencies(_currencyDataSource, baseCurrency)); // predefine data set "Bottom3Currencies"
_evaluationContext = new Context(_currencyDataSource, collectionDataContainer, new ValuesTable(10), startDate);
// Add the current date of execution into values table
_evaluationContext.ValuesTable.Add(TODAY_STR, startDate);
// Add base currency as a variable
_evaluationContext.ValuesTable.Add(BASE_CURRENCY_STR, baseCurrency.Name);
// put all the paramter definitions into the table
foreach (var param in tradingStrategy.ConstantVariableDefinitions)
{
_evaluationContext.ValuesTable.Add(param.Variable.Name, param.Constant.Eval(_evaluationContext));
}
// initialize position set
foreach (var positionDef in tradingStrategy.Portfolio.PositionSets)
{
PositionType type = (positionDef.PositionType == FXStrategy.MetaModel.PositionType.Long)?PositionType.Long:PositionType.Short;
CreatePositionSet(positionDef.Name, baseCurrency, (int)positionDef.Number.Eval(_evaluationContext), type);
}
// initialize execute frequency
tradingStrategy.TradingRules.ForEach(t => t.ExecuteFrequency.Initialize(startDate, endDate,_evaluationContext));
// add predefined data set into collection data container
for(DateTime currentDate = startDate; currentDate <= endDate; currentDate = currentDate.AddDays(1))
{
// No activities on weekend
if (DateTimeHelper.IsWeekEnd(currentDate))
continue;
_evaluationContext.ValuesTable[TODAY_STR] = currentDate;
_evaluationContext.CurrentDate = currentDate;
foreach (TradingRule rule in tradingStrategy.TradingRules)
{
// evaluate the rule inner statement
// only if current date fit to its execution frequency
if (rule.ExecuteFrequency.CanExecute(currentDate))
EvaluateStatement(rule.InnerStatement);
}
}
}
public override object Eval(Context evaluationContext)
{
return Value;
}