public StrategyInterpreter(FXEntities.FXEntities fxEntities, CurrencyDataSource currencyDataSource)
{
_currencyDataSource = currencyDataSource;
_positionSetTable = new Dictionary<string, PositionSetRuntime>();
_currencyTable = new Dictionary<string, Currency>();
_currencyDataSource.GetAllAvailableCurrencies().ToList().ForEach(c => _currencyTable.Add(c.CurrencyCode, new Currency(c.CurrencyCode)));
}
protected void UpdateCurrency()
{
if (Page.IsValid)
{
Currency currency = CurrencyDataSource.Load(this.CurrencyId);
currency.Name = Name.Text;
currency.ExchangeRate = AlwaysConvert.ToDecimal(ExchangeRate.Text, 1M);
currency.AutoUpdate = AutoUpdate.Checked;
currency.ISOCode = ISOCode.Text;
currency.ISOCodePattern = (byte)ISOCodePattern.SelectedIndex;
currency.CurrencySymbol = CurrencySymbol.Text;
currency.PositivePattern = (byte)PositivePattern.SelectedIndex;
currency.NegativePattern = (byte)NegativePattern.SelectedIndex;
currency.NegativeSign = NegativeSign.Text;
currency.DecimalSeparator = DecimalSeparator.Text;
currency.DecimalDigits = AlwaysConvert.ToInt(DecimalDigits.Text);
currency.GroupSeparator = GroupSeparator.Text;
currency.GroupSizes = GroupSizes.Text;
currency.Save();
if (currency.AutoUpdate)
{
currency.UpdateExchangeRate(false);
}
if (ItemUpdated != null)
{
ItemUpdated(this, new PersistentItemEventArgs(this.CurrencyId, currency.Name));
}
// RESET CURRENCY ID
this.CurrencyId = 0;
}
}
public void GetTransformedPositionRecordsTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
var startDate = new DateTime(2000, 1, 4);
var endDate = new DateTime(2003, 1, 4);
var periodicTimeDef = new PeriodicTimeDefinition(3, PeriodicType.Month);
periodicTimeDef.Initialize(startDate, endDate);
ProfitCalculationEngine_Accessor target = new ProfitCalculationEngine_Accessor(currencyDataSource);
PositionRuntime positionRuntime = new PositionRuntime(FXStrategy.Interpreter.PositionType.Long);
positionRuntime.PositionRecords.Add(new PositionRecord(
new DateTime(2000, 1, 4), new Currency("USD"), new Currency("EUR"),
FXStrategy.Interpreter.PositionType.Long, positionRuntime)
{
EndDate = new DateTime(2001,3,2)
});
//var actual = target.GetTransformedPositionRecords(positionRuntime, periodicTimeDef);
//Assert.AreEqual(actual.Count, 6);
//Assert.IsTrue(actual.ElementAt(5).Type == FXStrategy.Interpreter.PositionType.Short);
//Assert.IsTrue(actual.Take(5).All(t => t.Type == FXStrategy.Interpreter.PositionType.Long));
}
public Context(CurrencyDataSource currencyDataSource, PredefinedDataContainer collectionDataContainer, ValuesTable valuesTable, DateTime startTime)
{
_predefinedDataContainer = collectionDataContainer;
_valuesTable = valuesTable;
_currentTime = startTime;
_currencyDataSource = currencyDataSource;
}
protected void CurrencyGrid_RowEditing(object sender, GridViewEditEventArgs e)
{
int currencyId = (int)CurrencyGrid.DataKeys[e.NewEditIndex].Value;
Currency currency = CurrencyDataSource.Load(currencyId);
if (currency != null)
{
AbleCommerce.Admin._Store.Currencies.EditCurrencyDialog editDialog = CurrencyAjax.FindControl("EditCurrencyDialog1") as AbleCommerce.Admin._Store.Currencies.EditCurrencyDialog;
if (editDialog != null)
{
editDialog.CurrencyId = currencyId;
}
}
}
public void GetCurrencyNamesSortByInRateTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
Currency baseCurrency = new Currency("EUR"); // TODO: Initialize to an appropriate value
CurrencyDataSource target = new CurrencyDataSource(fxEntities); // TODO: Initialize to an appropriate value
IEnumerable<string> actual;
actual = target.GetCurrencyNameOrderByInterestRate(new DateTime(2000,1,7)).Reverse();
Assert.IsTrue(actual.ElementAt(0) == "GBP");
Assert.IsTrue(actual.ElementAt(1) == "USD");
Assert.IsTrue(actual.ElementAt(2) == "NOK");
Assert.IsTrue(actual.ElementAt(3) == "NZD");
Assert.IsTrue(actual.ElementAt(4) == "AUD");
Assert.IsTrue(actual.ElementAt(5) == "CAD");
Assert.IsTrue(actual.ElementAt(6) == "SEK");
Assert.IsTrue(actual.ElementAt(7) == "EUR");
Assert.IsTrue(actual.ElementAt(8) == "CHF");
Assert.IsTrue(actual.ElementAt(9) == "JPY");
}
protected void CurrencyGrid_RowCommand(object sender, GridViewCommandEventArgs e)
{
if (e.CommandName == "UpdateRate")
{
Currency currency = CurrencyDataSource.Load(AlwaysConvert.ToInt(e.CommandArgument));
if (currency != null)
{
try
{
currency.UpdateExchangeRate(true);
CurrencyGrid.DataBind();
CurrencyAjax.Update();
}
catch (Exception ex)
{
// Throw the exception with proper error message
throw new Exception("Unable to update the exchange rate. The rate provider may be experiencing technical difficulties, please try again later. Exception message: " + ex.Message, ex);
}
}
}
}
protected void Page_PreRender(object sender, EventArgs e)
{
Currency currency = CurrencyDataSource.Load(this.CurrencyId);
if (currency != null)
{
//LOAD FORM
Name.Text = currency.Name;
AutoUpdate.Checked = currency.AutoUpdate;
ManualUpdate.Checked = !AutoUpdate.Checked;
ExchangeRate.Text = currency.ExchangeRate.ToString("#.####");
ISOCode.Text = currency.ISOCode;
ISOCodePattern.SelectedIndex = (int)currency.ISOCodePattern;
CurrencySymbol.Text = currency.CurrencySymbol;
PositivePattern.SelectedIndex = (int)currency.PositivePattern;
NegativePattern.SelectedIndex = (int)currency.NegativePattern;
NegativeSign.Text = currency.NegativeSign;
DecimalSeparator.Text = currency.DecimalSeparator;
DecimalDigits.Text = currency.DecimalDigits.ToString();
GroupSeparator.Text = currency.GroupSeparator;
GroupSizes.Text = currency.GroupSizes;
trExchangeRate1.Visible = !currency.IsBaseCurrency;
trExchangeRate2.Visible = trExchangeRate1.Visible;
if (trExchangeRate1.Visible)
{
ExchangeRateHelpText.Text = string.Format(ExchangeRateHelpText.Text, AbleContext.Current.Store.BaseCurrency.Name);
}
EditCaption.Text = string.Format(EditCaption.Text, currency.Name);
EditPopup.OnCancelScript = String.Format("__doPostBack('{0}','{1}')", CancelButton.UniqueID, "");
EditPopup.Show();
}
else
{
this.Controls.Clear();
}
}
public StrategyAnalyzer()
{
var fxEntities = new FXEntities.FXEntities();
_currencyDataSource = new CurrencyDataSource(fxEntities);
_currencyDataSource.PreLoad();
}
public void Top3CurrenciesConstructorTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
Currency baseCurrency = new Currency("EUR");; // TODO: Initialize to an appropriate value
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
Top3Currencies target = new Top3Currencies(currencyDataSource, baseCurrency);
var result = target.GetCurrencies(new DateTime(2000, 1, 7));
Assert.IsTrue(result.Any(r => r == "USD"));
Assert.IsTrue(result.Any(r => r == "GBP"));
Assert.IsTrue(result.Any(r => r == "NOK"));
}
public void ExchangeRateAccessorTest()
{
TradingStrategy tradingStrategy = new TradingStrategy()
{
ConstantVariableDefinitions = new System.Collections.Generic.List<GlobalIdentifier>(){
new GlobalIdentifier(){
Variable = new Variable("reEntryExRatePercent", typeof(int)),
Constant = new Constant(typeof(decimal),0.05)},
new GlobalIdentifier(){
Variable = new Variable("noOfLongPosition",typeof(int)),
Constant = new Constant(typeof(int),3)},
new GlobalIdentifier(){
Variable = new Variable("noOfShortPosition",typeof(int)),
Constant = new Constant(typeof(int),3)}
},
Portfolio = new Portfolio()
{
HomeCurrency = "EUR",
PositionSets = new List<PositionSet>()
{
new PositionSet(){
Name = "LongPositions", Number = new Variable("noOfLongPosition",typeof(int)), PositionType = FXStrategy.MetaModel.PositionType.Long
},
new PositionSet(){
Name = "ShortPositions", Number = new Variable("noOfShortPosition", typeof(int)), PositionType = FXStrategy.MetaModel.PositionType.Short
}
}
},
TradingRules = new System.Collections.Generic.List<TradingRule>()
{
new TradingRule("test", new ConcreteTimeDefinition(){
ExecuteTime = new DateTime(2006,1,30)
},
new Assignment(
new Variable("exRateMVG", typeof(decimal)),
new AtTime(
new ExchangeRateAccessor(
new Constant(typeof(string), "EUR"),
new Constant(typeof(string), "USD"))
,
new Constant(typeof(DateTime), new DateTime(2006,1,30)))))
}
};
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
StrategyInterpreter target = new StrategyInterpreter(fxEntities, currencyDataSource);
DateTime startDate = new DateTime(2006, 1, 29);
DateTime endDate = new DateTime(2006, 1, 31);
target.Execute(tradingStrategy, startDate, endDate);
}
public void ExecutionTimeTest()
{
TradingStrategy tradingStratgy = ConstructTradingStrategy();
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
currencyDataSource.PreLoad();
StrategyInterpreter target = new StrategyInterpreter(fxEntities, currencyDataSource);
DateTime startExecutionTime;
DateTime endExecutionTime;
DateTime startDate = new DateTime(2000, 1, 1);
List<List<double>> results = new List<List<double>>();
StringBuilder output = new StringBuilder();
for (int j = 0; j < 10; j++)
{
results.Add(new List<double>());
output.AppendLine("Run no.: " + j);
for (int i = 0; i < 11; i++)
{
startExecutionTime = DateTime.Now;
target.Execute(tradingStratgy, startDate, startDate.AddYears(i + 1));
endExecutionTime = DateTime.Now;
results[j].Add((endExecutionTime - startExecutionTime).TotalMilliseconds);
output.AppendLine(String.Format("Execution time: {0}ms, Number of positionRecord: {1} ",
(endExecutionTime - startExecutionTime).TotalMilliseconds,
target.PositionSetTable.Sum(p => p.Value.Positions.SelectMany(pos => pos.PositionRecords).Count()
)
));
target.Clear();
//results.Add(endExecutionTime - startExecutionTime);
}
output.AppendLine();
}
output.AppendLine("Average: ");
for (int i = 0; i < 10; i++)
{
output.AppendLine( (i+1) + " Year: \t" + results.Select(r => r.ElementAt(i)).Average());
}
using (StreamWriter writer = new StreamWriter(@"D:\Documents\Study Materials\Master Thesis\Main Thesis\executionTime.txt"))
{
//for (int i = 1; i <= 10; i++)
//{
// output += String.Format(results[i - 1].Milliseconds + " ms \n");
//}
writer.WriteLine(output);
}
}
public void CalculationTest()
{
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities);
StrategyInterpreter target = new StrategyInterpreter(fxEntities, currencyDataSource);
TradingStrategy tradingStrategy = ConstructTradingStrategy();
DateTime startDate = new DateTime(2000, 1, 4);
DateTime endDate = new DateTime(2002, 1, 1);
target.Execute(tradingStrategy, startDate, endDate);
ProfitCalculationEngine calEngine = new ProfitCalculationEngine(
currencyDataSource
);
calEngine.Evaluate(target.PositionSetTable["ShortPositions"].Positions,
startDate,
endDate, new PeriodicTimeDefinition(3, PeriodicType.Month)
);
//calEngine.Analyze(target.PositionSetTable["LongPositions"].Positions
// .Union(target.PositionSetTable["ShortPositions"].Positions).ToList(),
// startDate,
// endDate, new PeriodicTimeDefinition(3, PeriodicType.Month)
// );
List<TimeSeriesData> returnOverTime = calEngine.ReturnOverTime;
string dest = @"C:\temp\ReturnOverTime.txt";
WriteToFile(returnOverTime, dest);
WriteToFile(calEngine.IndexOverTime, @"C:\temp\IndexOverTime.txt");
}
public void GetCurrenciesTest1()
{
Currency baseCurrency = new Currency("EUR");
FXEntities.FXEntities fxEntities = new FXEntities.FXEntities();
CurrencyDataSource currencyDataSource = new CurrencyDataSource(fxEntities); // TODO: Initialize to an appropriate value
Bottom3Currencies target = new Bottom3Currencies(currencyDataSource, baseCurrency); // TODO: Initialize to an appropriate value
DateTime time = new DateTime(2000, 1, 7); // TODO: Initialize to an appropriate value
IEnumerable<string> expected = new string[]{"JPY","CHF"};
IEnumerable<string> actual;
actual = target.GetCurrencies(time);
Assert.IsTrue(expected.All(a => actual.Contains(a)));
}
public StrategyInterpreter(CurrencyDataSource currencyDataSource) : this(new FXEntities.FXEntities(),currencyDataSource)
{ }
public ProfitCalculationEngine(CurrencyDataSource currencyDataSource)
{
_currencyDataSource = currencyDataSource;
}
