public double CalculateOpeningQuantity(OpeningQuantityCalculatorInput input)
{
double quantity = 0;
if (input.PositionSizingCalculationStrategy == PositionSizingCalculationStrategy.FixedAmount)
{
// calculate the size based on fixed size
quantity = input.MaxAmountToInvest / input.TargetPrice;
}
else if (input.PositionSizingCalculationStrategy == PositionSizingCalculationStrategy.CalculatedBasedOnRiskAmount)
{
// calculate the size based on risk
double riskPerUnit = input.TargetPrice * input.StopPercentage / 100d;
quantity = input.MaxAmountToRisk / riskPerUnit;
double totalAmount = quantity*input.TargetPrice;
if (totalAmount > input.MaxAmountToInvest)
{
quantity = input.MaxAmountToInvest/input.TargetPrice;
}
}
quantity = CalculateClosingQuantity(quantity, new ClosingQuantityCalculatorInput()
{
RoundLots = input.RoundLots,
PositionSizePercentage = input.PositionSizePercentage
});
if (quantity < input.MinimumPosition)
quantity = input.MinimumPosition;
return quantity;
}
private double GetTargetQuantity(double targetPrice)
{
OpeningQuantityCalculatorInput input = new OpeningQuantityCalculatorInput()
{
MaxAmountToInvest = EffectiveAmountToInvest,
MaxAmountToRisk = EffectiveAmountToRisk,
PositionSizePercentage = PositionSizePercentage,
PositionSizingCalculationStrategy = PositionSizingCalculationStrategy,
RoundLots = RoundLots,
TargetPrice = targetPrice,
StopPercentage = StopPercentage,
MinimumPosition = MinimumOrderSize
};
QuantityCalculator qtyCalc = new QuantityCalculator(LoggingConfig);
return qtyCalc.CalculateOpeningQuantity(input);
}
protected void ValidateStrategyType(OpeningQuantityCalculatorInput input, PositionSizingCalculationStrategy stratType)
{
if (input.PositionSizingCalculationStrategy != stratType)
throw new ArgumentException("PositionSizingCalculationStrategy", "PositionSizingCalculationStrategy");
}
protected abstract object CalculateImpl(OpeningQuantityCalculatorInput input);
