/// <summary>
/// Called for every bar update. Find instrument (ticker) with the highest
/// win percent and buy that stock if we have enough money.
/// </summary>
/// <param name="currentDate">The date that the sim is on.</param>
/// <param name="barNumber">The bar number of the sim loop. Not to be used for indexing since each ticker has a different number of bars</param>
private void OnBarUpdate(DateTime currentDate, int barNumber)
{
bool isTradingBar = false;
ConcurrentBag<BestOfRootStrategies> buyBag = new ConcurrentBag<BestOfRootStrategies>();
// Add all the tickers that are above our set percent to buy.
#if DEBUG
foreach (KeyValuePair<string, BestOfRootStrategies> instrument in Instruments)
#else
Parallel.ForEach(Instruments, instrument =>
#endif
{
BestOfRootStrategies strat = instrument.Value;
int currentBar = strat.Data.GetBar(currentDate);
if (currentBar != -1)
{
isTradingBar = true;
// Run the strategy for this bar.
strat.OnBarUpdate(currentBar);
// All bars have a zero value by default. So something is found when the
// percent is higher than that.
if (strat.Bars[currentBar].HighestPercent > 0.0)
{
// All orders set a min price to place an order.
if (strat.Data.Open[currentBar] >= Config.MinPriceForOrder)
{
// If this is a short order, some brokers have min prices they allow for shorts.
if (strat.Bars[currentBar].StrategyOrderType == Order.OrderType.Long ||
(strat.Bars[currentBar].StrategyOrderType == Order.OrderType.Short && strat.Data.Open[currentBar] >= Config.MinPriceForShort))
{
buyBag.Add(strat);
}
}
}
}
#if DEBUG
}
#else
});
#endif
if (isTradingBar == true)
{
List<BestOfRootStrategies> buyList = buyBag.ToList();
// Sort the list so the instruments that have the highest buy value are first in the list.
buyList.Sort(delegate(BestOfRootStrategies x, BestOfRootStrategies y)
{
int xBar = x.Data.GetBar(currentDate);
int yBar = y.Data.GetBar(currentDate);
if (x.Bars[xBar].ExtraOrderInfo.ContainsKey("expectedGain"))
{
double xGain = (double)x.Bars[xBar].ExtraOrderInfo["expectedGain"];
double yGain = (double)y.Bars[yBar].ExtraOrderInfo["expectedGain"];
return yGain.CompareTo(xGain);
}
else
{
return y.Bars[yBar].HighestGain.CompareTo(x.Bars[xBar].HighestGain);
}
});
// Output the buy list for each day.
DataOutput.SaveBuyList(buyList, currentDate);
// Update all the active orders before placing new ones.
UpdateOrders(currentDate);
// Keep tabs on the account cash at the start of the month. We want to
// limit our losses for the month.
UpdateMonthlyAccountValue(currentDate);
// Buy stocks if it's a good time.
if (barNumber >= Config.NumBarsToDelayStart)
{
int currentCount = 0;
for (int i = 0; i < buyList.Count; i++)
{
// Only allowed to have a maximum number of orders open at 1 time. This will limit us
// to working within a budget later in the sim when we make money. Ex. If we start with
// $100,000 and we double it in 2 years. We don't want to be investing our $200,000 worth
// of cash. We still want to work with our original amount. This way we can see how much
// of a bankroll we'll need to make a living off investing.
if (_activeOrders.Count >= Config.MaxOpenOrders || currentCount >= Config.MaxOrdersPerBar)
{
break;
}
// Also limit our losses and make sure we have not lost too much money this month.
if (_isMonthlyLossExceeded)
{
break;
}
// If the highest percent is enough for a buy, then do it.
// If not then since the list is sorted, no other ones will
// be high enough and we can early out of the loop.
int strategyBarIndex = buyList[i].Data.GetBar(currentDate);
OrderSuggestion barStats = buyList[i].Bars[strategyBarIndex];
if (barStats.HighestPercent > 0) // TODO: move to combo strategy && barStats.ComboSizeOfHighestStrategy >= Simulator.Config.MinComboSizeToBuy)
{
// Make sure we have enough money and also that we have enough time
// before the end of the sim to complete the order we place.
if (barNumber < NumberOfBars && Broker.AccountCash > barStats.SizeOfOrder * 1.1)
{
double sizeOfOrder = GetOrderSize(strategyBarIndex, barStats.SizeOfOrder, barStats.StrategyOrderType, buyList[i].Data);
currentCount += EnterOrder(barStats.Statistics,
barStats.StrategyOrderType,
buyList[i].Data,
strategyBarIndex,
sizeOfOrder,
barStats.DependentIndicators,
barStats.BuyConditions,
barStats.SellConditions,
barStats.ExtraOrderInfo);
}
}
else
{
break;
}
}
}
}
}