/// <summary>
/// Initializes a new instance of the <see cref="PortfolioManager"/> class for running a backtest.
/// </summary>
/// <param name="portfolioimplementations">The portfolioimplementations.</param>
/// <param name="simulation">The backtest.</param>
public PortfolioManager(PortfolioImplementations portfolioimplementations, SimulationMessage simulation)
: this(portfolioimplementations)
{
//Set initial message
_initialMessageInstance = simulation;
//Since this is a backtest request
RunMode = RunMode.Backtester;
//World clock is depended on data received
var clock = new WorldClock(() => PortfolioImplementations.DataFeed.LastDataReceivedUtc == DateTime.MinValue ?
simulation.StartDateTime :
portfolioimplementations.DataFeed.LastDataReceivedUtc);
//Get additional information
if (!Enum.TryParse(simulation.AccountType, out AccountType accounttype))
{
throw new Exception($"Cannot initialize backtest account type {simulation.AccountType}");
}
if (!Enum.TryParse(simulation.BrokerType, out BrokerType brokertype))
{
throw new Exception($"Cannot initialize backtest broker type {simulation.BrokerType}");
}
if (!Enum.TryParse(simulation.BaseCurrency, out CurrencyType basecurrency))
{
throw new Exception($"Cannot initialize backtest base currency type {simulation.BaseCurrency}");
}
//Get latest currency rates, so we are up to date (trough forced reload)
_log.Debug($"Initializing currency implementation: {PortfolioImplementations.Currency.GetType().FullName}");
Config.LoadConfigFile <CurrencyRatesConfig[]>(Config.GlobalConfig.CurrencyRatesConfigFile, true);
PortfolioImplementations.Currency.Initialize(clock, true);
//Get broker model
var brokermodel = BrokerModelFactory.GetBroker(accounttype, brokertype);
//Check if the currency selected matches the currency of this broker (for instance when using crypto currencies)
decimal allocatedfunds = simulation.QuantFund.AllocatedFunds;
brokermodel.GetCompatibleInitialCapital(portfolioimplementations.Currency, ref basecurrency, ref allocatedfunds);
simulation.QuantFund.AllocatedFunds = allocatedfunds;
//Create portfolio
_portfolio = CreatePortfolio(simulation.PortfolioId, Guid.NewGuid().ToString(), brokermodel,
simulation.Leverage, basecurrency, basecurrency, clock, simulation.ExtendedMarketHours);
//Set initial funds
_portfolio.CashManager.AddCash(basecurrency, allocatedfunds);
//Set initial fund message
_initialFundMessage = simulation.QuantFund;
}
/// <summary>
/// Initializes a new instance of the <see cref="PortfolioManager"/> class for running a live trading instance.
/// </summary>
/// <param name="portfolioImplementations">The portfolio implementations.</param>
/// <param name="livetrading">The livetrading.</param>
public PortfolioManager(PortfolioImplementations portfolioImplementations, LiveTradingMessage livetrading)
: this(portfolioImplementations)
{
//Set initial message
_initialMessageInstance = livetrading;
//Since this is a live trading request
RunMode = RunMode.LiveTrading;
//World clock is current time
var clock = new WorldClock(() => DateTime.UtcNow);
//Get additional information
if (!Enum.TryParse(livetrading.AccountType, out AccountType accounttype))
{
throw new Exception($"Cannot initialize backtest account type {livetrading.AccountType}");
}
if (!Enum.TryParse(livetrading.BrokerType, out BrokerType brokertype))
{
throw new Exception($"Cannot initialize backtest broker type {livetrading.BrokerType}");
}
if (!Enum.TryParse(livetrading.BaseCurrency, out CurrencyType basecurrency))
{
throw new Exception($"Cannot initialize backtest base currency type {livetrading.BaseCurrency}");
}
if (!Enum.TryParse(livetrading.DisplayCurrency, out CurrencyType displaycurrency))
{
throw new Exception($"Cannot initialize backtest base currency type {livetrading.DisplayCurrency}");
}
//Get latest currency rates, so we are up to date (trough forced reload)
_log.Debug($"Initializing currency implementation: {PortfolioImplementations.Currency.GetType().FullName}");
Config.LoadConfigFile <CurrencyRatesConfig[]>(Config.GlobalConfig.CurrencyRatesConfigFile, true);
PortfolioImplementations.Currency.Initialize(clock, true);
//Get broker model
var brokermodel = BrokerModelFactory.GetBroker(accounttype, brokertype);
//Create portfolio
_portfolio = CreatePortfolio(livetrading.PortfolioId, livetrading.AccountId, brokermodel,
livetrading.Leverage, basecurrency, displaycurrency, clock,
livetrading.ExtendedMarketHours);
//Set initial fund message
_initialFundMessage = livetrading.QuantFund;
}
/// <summary> /// Initializes a new instance of the <see cref="PortfolioManager"/> class. /// </summary> /// <param name="portfolioImplementations">The portfolio implementations.</param> private PortfolioManager(PortfolioImplementations portfolioImplementations) =>