internal void ToSerie(StockSerie stockSerie, StockSerie referenceSerie = null)
{
float open = 0.0f;
float high = 0.0f;
float low = 0.0f;
float close = 0.0f;
int volume = 1;
float cash = TotalDeposit;
Dictionary<string, PositionValues> stockPositionDico = new Dictionary<string, PositionValues>();
// Statistics
int nbTrades = 0;
int nbWinTrades = 0;
float maxDrawdown = float.MaxValue;
float maxGain = float.MinValue;
float maxLoss = float.MinValue;
if (referenceSerie == null)
{
referenceSerie = StockDictionary.StockDictionarySingleton["CAC40"];
}
referenceSerie.Initialise();
foreach (DateTime date in referenceSerie.GetValues(StockSerie.StockBarDuration.Daily).Where(d => d.DATE.Year > 2014).Select(v => v.DATE.Date))
{
// Calculate open value
// Retrieve orders for this date/time
var orderList = this.OrderList.FindAll(order => order.ExecutionDate.Date == date).OrderBy(o => o.ID);
// Manage new orders
foreach (StockOrder stockOrder in orderList)
{
int numberOfShare = stockOrder.IsShortOrder ? -stockOrder.Number : stockOrder.Number;
if (stockOrder.IsBuyOrder()) // Buy position
{
cash -= stockOrder.TotalCost;
if (stockPositionDico.ContainsKey(stockOrder.StockName))
{
stockPositionDico[stockOrder.StockName].Position += numberOfShare;
stockPositionDico[stockOrder.StockName].OpenValue =
(stockPositionDico[stockOrder.StockName].Position *
stockPositionDico[stockOrder.StockName].OpenValue + numberOfShare * stockOrder.Value) /
(stockPositionDico[stockOrder.StockName].Position + numberOfShare);
}
else
{
if (stockDictionary.ContainsKey(stockOrder.StockName) &&
stockDictionary[stockOrder.StockName].Initialise())
{
stockPositionDico.Add(stockOrder.StockName,
new PositionValues(numberOfShare, stockOrder.Value,
stockDictionary[stockOrder.StockName].GetValues(StockSerie.StockBarDuration.Daily)));
}
else
{
StockLog.Write("Initialisation failed: " + stockOrder.StockName);
stockPositionDico.Add(stockOrder.StockName,
new PositionValues(numberOfShare, stockOrder.Value, null));
}
}
}
else // Closing Position
{
if (stockPositionDico.ContainsKey(stockOrder.StockName))
{
cash += stockOrder.TotalCost;
PositionValues position = stockPositionDico[stockOrder.StockName];
if (position.Position == numberOfShare)
{
maxDrawdown = Math.Min(maxDrawdown, position.MaxDrawdown);
stockPositionDico.Remove(stockOrder.StockName);
nbTrades++;
}
else
{
position.Position -= numberOfShare;
}
if (stockOrder.IsShortOrder)
{
if (position.OpenValue > stockOrder.Value)
{
nbWinTrades++;
maxGain = Math.Max(maxGain, (position.OpenValue - stockOrder.Value) / position.OpenValue);
}
else
{
maxLoss = Math.Max(maxLoss, -(position.OpenValue - stockOrder.Value) / position.OpenValue);
}
}
else
{
if (position.OpenValue < stockOrder.Value)
{
nbWinTrades++;
maxGain = Math.Max(maxGain, -(position.OpenValue - stockOrder.Value) / position.OpenValue);
}
else
{
maxLoss = Math.Max(maxLoss, (position.OpenValue - stockOrder.Value) / position.OpenValue);
}
}
}
else
{
// Open short position
cash += stockOrder.TotalCost;
if (stockDictionary.ContainsKey(stockOrder.StockName) &&
stockDictionary[stockOrder.StockName].Initialise())
{
stockPositionDico.Add(stockOrder.StockName,
new PositionValues(-numberOfShare, stockOrder.Value,
stockDictionary[stockOrder.StockName].GetValues(StockSerie.StockBarDuration.Daily)));
}
else
{
StockLog.Write("Initialisation failed: " + stockOrder.StockName);
stockPositionDico.Add(stockOrder.StockName,
new PositionValues(-numberOfShare, stockOrder.Value, null));
}
//throw new System.Exception("Sell order found on non bought stock " + stockOrder.StockName + " in " + this.Name);
// @@@@ Need to have proper error manegement otherwise the applications crashes.
//return referenceSerie;
}
}
}
// Calculate new value after taking into account the orders.
low = cash;
high = cash;
close = cash;
open = cash;
if (stockPositionDico.Count != 0)
{
foreach (PositionValues position in stockPositionDico.Values)
{
StockDailyValue currentValue = position.AtDate(date);
if (currentValue == null)
{
// Position on stock not in dico
if (position.Position > 0)
{
close += position.OpenValue * position.Position;
open += position.OpenValue * position.Position;
low += position.OpenValue * position.Position;
high += position.OpenValue * position.Position;
}
}
else
{
// Position on stock in dico
close += currentValue.CLOSE * position.Position;
open += currentValue.OPEN * position.Position;
if (position.Position > 0)
{
position.MaxValue = Math.Max(position.MaxValue, currentValue.HIGH);
position.MinValue = Math.Min(position.MinValue, currentValue.LOW);
low += currentValue.LOW * position.Position;
high += currentValue.HIGH * position.Position;
}
else
{
// We are facing a short order, everything is reversed
low += currentValue.HIGH * position.Position;
high += currentValue.LOW * position.Position;
position.MaxValue = Math.Max(position.MaxValue, currentValue.LOW);
position.MinValue = Math.Min(position.MinValue, currentValue.HIGH);
}
}
}
}
StockDailyValue dailyValue = new StockDailyValue(stockSerie.StockName, open, high, low, close, volume, date);
stockSerie.Add(date, dailyValue);
dailyValue.Serie = stockSerie;
}
StockLog.Write("Statistics for " + stockSerie.StockName);
StockLog.Write("NbTrades: " + nbTrades);
StockLog.Write("Win %: " + ((float)nbWinTrades / (float)nbTrades).ToString("P2"));
StockLog.Write("MaxDrowdown: " + maxDrawdown.ToString("P2"));
StockLog.Write("MaxGain: " + maxGain.ToString("P2"));
StockLog.Write("MaxLoss: " + maxLoss.ToString("P2"));
}
public override bool LoadIntradayDurationArchiveData(string rootFolder, StockSerie serie, StockSerie.StockBarDuration duration)
{
StockLog.Write("LoadIntradayDurationArchiveData Name:" + serie.StockName + " duration:" + duration);
string durationFileName = rootFolder + ARCHIVE_FOLDER + "\\" + duration + "\\" + serie.ShortName.Replace(':', '_') + "_" + serie.StockName + "_" + serie.StockGroup.ToString() + ".txt";
if (File.Exists(durationFileName))
{
var values = serie.GetValues(duration);
if (values == null)
StockLog.Write("LoadIntradayDurationArchiveData Cache File Found, current size is: 0");
else StockLog.Write("LoadIntradayDurationArchiveData Cache File Found, current size is: " + values.Count);
serie.ReadFromCSVFile(durationFileName, duration);
StockLog.Write("LoadIntradayDurationArchiveData New serie size is: " + serie.GetValues(duration).Count);
if (serie.GetValues(duration).Count > 0)
{
StockLog.Write("LoadIntradayDurationArchiveData First bar: " +
serie.GetValues(duration).First().ToString());
StockLog.Write("LoadIntradayDurationArchiveData Last bar: " + serie.GetValues(duration).Last().ToString());
}
else
{
return false;
}
}
else
{
return false;
}
return true;
}