public StocksDataApi(IMapper mapper,
ITradingSimulationResultRepository tradingSimulationResultRepository,
IStockQuoteRepository stockQuoteRepository,
ICompanyRepository companyRepository,
ILogger logger,
IDatabaseManagementService databaseManagementService,
IStockQuotesDownloadService stockQuotesDownloadService,
IStockQuotesMigrationFromCsv stockQuotesMigrationFromCsv,
IProjectSettings projectSettings,
ITradingSimulator tradingSimulator,
IProgressReportable progressReporter,
Microsoft.Extensions.Configuration.IConfiguration configuration,
IStockUpdateService stockUpdateService)
{
_mapper = mapper;
_tradingSimulationResultRepository = tradingSimulationResultRepository;
_stockQuoteRepository = stockQuoteRepository;
_companyRepository = companyRepository;
_logger = logger;
_databaseManagementService = databaseManagementService;
_stockQuotesDownloadService = stockQuotesDownloadService;
_stockQuotesMigrationFromCsv = stockQuotesMigrationFromCsv;
_projectSettings = projectSettings;
_tradingSimulator = tradingSimulator;
_progressReporter = progressReporter;
_configuration = configuration;
_stockUpdateService = stockUpdateService;
}
public override SimulationResult Simulate(List <StockQuote> allQuotesPrefilterd, TradingSimulationConfig tradingSimulationConfig,
IProgressReportable progress = null)
{
var result = base.Simulate(allQuotesPrefilterd, tradingSimulationConfig, progress);
return(result);
}
public virtual SimulationResult Simulate(List <StockQuote> allQuotesPrefilterd,
TradingSimulationConfig tradingSimulationConfig,
IProgressReportable progress = null)
{
var ledger = new TransactionsLedger(tradingSimulationConfig.StartingCash);
var result = new SimulationResult {
TradingSimulationConfig = tradingSimulationConfig
};
var filteredQuotes = allQuotesPrefilterd.Where(x =>
x.DateParsed.InOpenRange(tradingSimulationConfig.FromDate, tradingSimulationConfig.ToDate)).ToList();
var tradingStartingDate = filteredQuotes.Min(x => x.DateParsed);
var tradingEndDate = filteredQuotes.Max(x => x.DateParsed);
var datesToTrade = filteredQuotes
.Where(x => x.DateParsed.InOpenRange(tradingStartingDate, tradingEndDate))
.Select(x => x.DateParsed)
.Distinct()
.OrderBy(x => x)
.ToList();
progress?.Restart(datesToTrade.Count);
foreach (var date in datesToTrade)
{
var topN = GetTopN(tradingSimulationConfig, allQuotesPrefilterd, date);
var topNTickers = Enumerable.ToHashSet(topN.Select(quote => quote.Ticker));
var tradingDayQuotesForMostRising = allQuotesPrefilterd
.Where(x => x.DateParsed.Date.Equals(date.Date) && topNTickers.Contains(x.Ticker) && x.IsValid());
foreach (var stockQuoteForToday in tradingDayQuotesForMostRising)
{
var volume = (ledger.Balance / tradingSimulationConfig.TopN) / (stockQuoteForToday.Open);
var buyOrderStatus = ledger.PlaceBuyOrder(stockQuoteForToday, stockQuoteForToday.Open, volume);
switch (buyOrderStatus)
{
case OrderStatusType.Accepted:
var sellOrderStatus = ledger.ClosePosition(stockQuoteForToday, stockQuoteForToday.Close);
if (sellOrderStatus != OrderStatusType.Accepted)
{
Logger.LogWarning($"Could not perform closing sell on {stockQuoteForToday.Ticker} {stockQuoteForToday.DateParsed}. Selling the trade for buy price...");
ledger.ClosePosition(stockQuoteForToday, stockQuoteForToday.Open);
}
switch (sellOrderStatus)
{
case OrderStatusType.DeniedNoOpenPosition:
Logger.LogError($"Sell order of {volume} stocks denied due to lack of open position on {stockQuoteForToday.Ticker}.");
break;
case OrderStatusType.DeniedOutOfRange:
Logger.LogWarning($"Sell order for of {volume} stocks denied due to price being out of range of today's {stockQuoteForToday.Ticker} prices ({stockQuoteForToday.Low} - {stockQuoteForToday.High})." +
"Selling the trade for buy price...");
ledger.ClosePosition(stockQuoteForToday, stockQuoteForToday.Open);
break;
}
break;
case OrderStatusType.DeniedInsufficientFunds:
Logger.LogWarning($"Buy order for {stockQuoteForToday.Ticker} price = {stockQuoteForToday.Open} vol = {volume} denied due to insufficient funds ({ledger.Balance}).");
break;
case OrderStatusType.DeniedOutOfRange:
Logger.LogWarning($"Buy order for {stockQuoteForToday.Open * volume} denied due to price being out of range of today's {stockQuoteForToday.Ticker} prices ({stockQuoteForToday.Low} - {stockQuoteForToday.High}.");
break;
}
result.ROC.Activate(true, stockQuoteForToday.Close > stockQuoteForToday.Open);
}
progress?.ReportProgress();
}
result.TransactionsLedger = ledger.TheLedger;
result.FinalBalance = ledger.Balance;
result.CompaniesUsedInSimulation = filteredQuotes.DistinctBy(x => x.Ticker).Count();
result.SimulatorName = this.GetType().Name;
return(result);
}
/// <summary>
/// Sets the progress reporter.
/// </summary>
/// <param name="progressReporter">Progress reporter.</param>
public void SetProgressReporter(IProgressReportable progressReporter)
{
ProgressReporter = progressReporter;
}
