public SubAlgoValidator(SubAlgo algo, TimeSpan timeSpan,
Dictionary <string, IIndicator> indicators,
Func <SubAlgoValidator, decimal> confidenceFunction,
bool keepPreviousValues = false)
{
Algo = algo;
_timeSpan = timeSpan;
Indicators = indicators;
_confidenceFunction = confidenceFunction;
if (keepPreviousValues)
{
_previous = new Dictionary <string, decimal>();
foreach (var i in indicators)
{
_previous[i.Key] = i.Value.Current;
}
}
}
public decimal Percent(SubAlgo subAlgo, Symbol symbol, decimal target, decimal price)
{
if (!Positions.ContainsKey(symbol))
{
Positions[symbol] = new Position(symbol);
}
if (target == 0)
{
return(-Positions[symbol].Quantity);
}
else
{
var actual = Positions[symbol].GetMarketValue() / TotalPortfolioValue;
var toExecute = target - actual;
// TODO: deal multiplicator for futures, options, etc...
// TODO: add bid ask & fees
var qty = (price > 0) ? TotalPortfolioValue * toExecute / price : 0;
return(qty);
}
}