public PositionRecord(DateTime startTradeTime, Currency currencyToTrade,
Currency baseCurrency, PositionType type, PositionRuntime positionRuntime)
{
_currencyInPosition = currencyToTrade;
_startDate = startTradeTime;
_baseCurrency = baseCurrency;
_type = type;
_positionRuntime = positionRuntime;
}
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));
}
private static void AssignEndDateToLastRecord(DateTime endDate, PositionRuntime position)
{
var emptyEndTimeRecords = position.PositionRecords.SelectMany(r => r.PositionRuntime.PositionRecords).Where(p => p.EndDate == DateTime.MinValue);
foreach(var emptyEndTimeRecord in emptyEndTimeRecords)
emptyEndTimeRecord.EndDate = endDate;
}
/// <summary>
/// Split position records into records in the length of termLength
/// </summary>
/// <param name="originalPositionRecords"></param>
/// <param name="termLength"></param>
/// <returns></returns>
private List<PositionRecord> TransformPositionRecords(
PositionRuntime positionRuntime,
PeriodicTimeDefinition termLength)
{
List<DateTime> termEffectiveDates = termLength.AvailableDates;
List<PositionRecord> transformedPositionRecords = new List<PositionRecord>();
foreach (var positionRecord in positionRuntime.PositionRecords)
{
// list of terms that available for the position
var effectiveTerms = TermManager.GetTermFromPeriod(positionRecord.StartDate, positionRecord.EndDate, termLength);
// create terms for each position record
effectiveTerms.ForEach(t => transformedPositionRecords.Add(new PositionRecord(
t.StartDate,
t.EndDate,
positionRecord.CurrencyInPosition, positionRecord.BaseCurrency,
positionRecord.Type, positionRuntime)));
if (positionRecord.EndDate != effectiveTerms.Last().EndDate)
{
// for the case ending the record within a forward contract
// an opposite position will be opened
transformedPositionRecords.Add(new PositionRecord(
effectiveTerms.Last().StartDate,
effectiveTerms.Last().EndDate,
positionRecord.CurrencyInPosition,
positionRecord.BaseCurrency,
(positionRecord.Type == PositionType.Long) ? PositionType.Short : PositionType.Long,
positionRuntime));
}
}
return transformedPositionRecords;
}
/// <summary>
/// Calculate profit for an individual position over time
/// </summary>
/// <param name="startDate">start date of the back-testing analysis</param>
/// <param name="endDate">end date of the back-testing analysis</param>
/// <param name="termLength">Length of forward contract</param>
/// <param name="position">the position for calculation</param>
private void CalculateIndividualPositionProfitIndexes(DateTime startDate,
DateTime endDate, PeriodicTimeDefinition termLength, PositionRuntime position)
{
AssignEndDateToLastRecord(endDate, position);
List<PositionRecord> transformedRecord = TransformPositionRecords(position, termLength);
List<TimeSeriesData> positionIndexes = new List<TimeSeriesData>();
foreach (var record in transformedRecord)
{
DateTime effectiveStartDate = GetEffectiveStartDate(record);
DateTime effectiveEndDate = GetEffectiveEndDate(record);
decimal startExchangeRate = GetExchangeRateBaseOnPosType(record, effectiveStartDate);
decimal variableInRate =
GetIntRate(record.CurrencyInPosition.Name, effectiveStartDate) / (decimal)100;
decimal baseInRate =
GetIntRate(record.BaseCurrency.Name, effectiveStartDate) / (decimal)100;
decimal forwardRate =
CalculateForwardRate((effectiveEndDate - effectiveStartDate).Days,
startExchangeRate, baseInRate, variableInRate);
foreach (var currentDate in DateTimeHelper.GetWeekdaysDate(record.StartDate, record.EndDate))
{
decimal curExchangeRate = GetExchangeRate(record, currentDate);
decimal curProfit = CalculateProfitBaseOnPosType(record, forwardRate, curExchangeRate);
var existingIndex = positionIndexes.Where(d => d.Time == currentDate).FirstOrDefault();
if (existingIndex == null)
{
positionIndexes.Add(new TimeSeriesData()
{
Time = currentDate,
Value = curProfit
});
}
else
{
existingIndex.Value += curProfit;
}
}
}
_individualPositionIndex.Add(position, positionIndexes);
}
public PositionRecord(DateTime startTradeTime,
DateTime endTradeTime, Currency currencyToTrade,
Currency baseCurrency, PositionType type, PositionRuntime positionRuntime):
this(startTradeTime, currencyToTrade, baseCurrency, type, positionRuntime){
this.EndDate = endTradeTime;
}
