Ejemplo n.º 1
0
 public static List <StrategyParams> ReadConfig()
 {
     using (StreamReader r = new StreamReader(ConfigPath))
     {
         string       json         = r.ReadToEnd();
         CommonParams commonParams = JsonConvert.DeserializeObject <CommonParams>(json);
         ExcelReader.ExcelPositionFileName  = commonParams.ExcelPositionFileName;
         ExcelReader.ExcelPositionSheetName = commonParams.ExcelPositionSheetName;
         ExcelReader.ExcelOrdersSheetName   = commonParams.ExcelOrdersSheetName;
         ExcelReader.PositionTickerColumn   = commonParams.PositionTickerColumn;
         ExcelReader.QtyColumn          = commonParams.QtyColumn;
         ExcelReader.PlannedColumn      = commonParams.PlannedColumn;
         ExcelReader.PositionSideColumn = commonParams.PositionSideColumn;
         ExcelReader.AvgPriceColumn     = commonParams.AvgPriceColumn;
         ExcelReader.OrderTickerColumn  = commonParams.OrderTickerColumn;
         ExcelReader.StatusColumn       = commonParams.StatusColumn;
         ExcelReader.OrderSideColumn    = commonParams.OrderSideColumn;
         ExcelReader.OrderIdColumn      = commonParams.OrderIdColumn;
         ExcelReader.PriceColumn        = commonParams.PriceColumn;
         ExcelReader.StopPriceColumn    = commonParams.StopPriceColumn;
         ExcelReader.VolumeColumn       = commonParams.VolumeColumn;
         ExcelReader.BalanceColumn      = commonParams.BalanceColumn;
         PortfolioManager.GetInstance().SumToTrade = commonParams.SumToTrade;
         return(commonParams.Strategies);
     }
 }
Ejemplo n.º 2
0
 public static PortfolioManager GetInstance()
 {
     if (Instance == null)
     {
         Instance = new PortfolioManager();
     }
     return(Instance);
 }
Ejemplo n.º 3
0
        private void getBarsButton_Click(object sender, EventArgs e)
        {
            DBInputOutput.DBReader dbReader   = new DBInputOutput.DBReader();
            Server                server      = Server.GetInstance();
            PortfolioManager      portManager = PortfolioManager.GetInstance();
            List <StrategyParams> pars        = ConfigReader.ReadConfig();

            double[]      ws         = pars.Select(par => par.ContractsToTrade > 0 ? par.StrategicWeight : -1).Where(w => w >= 0).ToArray();
            double[]      mults      = pars.Select(par => par.ContractsToTrade > 0 ? par.Mult : -1).Where(m => m != -1).ToArray();
            List <string> stratNames = pars.Select(par => par.ContractsToTrade > 0 ? par.Name : "").Where(s => !s.Equals("")).ToList();

            double[] gos   = stratNames.Select(name => server.GetStrategies().Find(strat => strat.Name.Equals(name)).GO).ToArray();
            double[] ps    = stratNames.Select(name => dbReader.SelectLastPrice(server.GetStrategies().Find(strat => strat.Name.Equals(name)).Symbol).Close).ToArray();
            double[] steps = pars.Select(par => par.ContractsToTrade > 0 ? par.Step : -1).Where(s => s != -1).ToArray();
            for (int i = 0; i < ws.Length; i++)
            {
                ws[i] = ws[i] / (ps[i] * mults[i] / gos[i]);
            }
            double sm = ws.Sum();

            portManager.TargetWs = ws.Select(w => w / sm).ToArray();
            //portManager.TargetWs = pars.Select(par => par.ContractsToTrade > 0 ? par.StrategicWeight : -1).Where(w => w >= 0).ToArray();
            if (Math.Abs(portManager.TargetWs.Sum() - 1.0) >= 0.001)
            {
                WriteToError("Sum of TargetWs != 1. Cannot optimize");
                return;
            }

            int[]  contractsToTrade = portManager.CalcContractsToTrade(gos);
            string message          = "Nearest Weights:\r\n";

            double sumToTrade = 0.0;
            double goToTrade  = 0.0;

            for (int i = 0; i < stratNames.Count; i++)
            {
                sumToTrade += contractsToTrade[i] * ps[i] * mults[i];
                goToTrade  += contractsToTrade[i] * gos[i];
            }


            for (int i = 0; i < stratNames.Count; i++)
            {
                double pct = Math.Round(contractsToTrade[i] * ps[i] * mults[i] / sumToTrade, 4) * 100;
                message += stratNames[i] + ": " + contractsToTrade[i] + " * " + ps[i] * mults[i] + " = " + contractsToTrade[i] * ps[i] * mults[i] +
                           " ₽ (" + pct + "%)\r\n";
            }
            message += "Total Sum: " + sumToTrade + " ₽ \r\n";
            message += "Total Money Used: " + goToTrade + " ₽ \r\n";
            WriteToError(message);
        }