public double Calculate(QuantityCalculatorInput input)
{
if (input.PortfolioAllocationPercentage <= 0)
throw new ArgumentOutOfRangeException("input.PortfolioAllocationPercentage", input.PortfolioAllocationPercentage, "Portfolio allocation cannot be zero or negative");
double allocatedPortfolioAmount = input.PortfolioAmt*input.PortfolioAllocationPercentage/100;
LoggingUtility.WriteInfo(logConfig, string.Format("Total capital to deploy for this portfolio is {0:c}",
allocatedPortfolioAmount));
double maxPortfolioRiskAmount = allocatedPortfolioAmount * input.MaxPortfolioRisk / 100;
double maxPortfolioRiskAmountPerPosition = maxPortfolioRiskAmount / input.NumberOfPositions;
double maxPositionRiskAmount = allocatedPortfolioAmount * input.MaxPositionRisk / 100;
double finalPositionRiskAmount = Math.Min(maxPortfolioRiskAmountPerPosition, maxPositionRiskAmount);
double stopPrice = input.TargetPrice * input.StopPercentage / 100;
double quantity = finalPositionRiskAmount / stopPrice;
double maxPositionAmount = allocatedPortfolioAmount / input.NumberOfPositions;
double calcPositionAmount = input.TargetPrice * quantity;
if (calcPositionAmount > maxPositionAmount)
{
quantity = maxPositionAmount / input.TargetPrice;
}
LoggingUtility.WriteInfo(
logConfig,
string.Format(
"Qty calc: [Port Risk: {0:c}] [Pos Risk: {1:c}] [Stop Price: {2:c}] [Qty: {3:n2}]",
maxPortfolioRiskAmountPerPosition,
maxPositionRiskAmount,
stopPrice,
quantity));
return CalculatePositionSizedQuantity(quantity, input);
}
public double CalculatePositionSizedQuantity( double quantity, QuantityCalculatorInput input)
{
double returnValue = quantity;
returnValue = returnValue * input.PositionSizePercentage / 100;
returnValue = Math.Round(returnValue, 0);
if (input.RoundLots)
returnValue = returnValue - (returnValue % 100);
LoggingUtility.WriteInfo(
logConfig,
string.Format(
"Total quantity: {0:n2} with a position size of {1:p} = {2}",
quantity,
input.PositionSizePercentage/100,
returnValue));
return returnValue;
}
