static void Main(string[] args)
{
//LstSquCubicRegr ls = new LstSquCubicRegr();
//ls.AddPoints(0.145, -0.1444050245);
//double a = ls.aTerm;
//double b = ls.bTerm;
//double c = ls.cTerm;
//double d = ls.dTerm;
//int i = 0;
string sInput = "";
if (args.Length == 0)
{
Console.WriteLine("Basic:");
Console.WriteLine("'1' Run the optimal set (data-new).");
Console.WriteLine("'2' Run the optimal set (data-old).");
Console.WriteLine("'3' Loop through all systems with standard size.");
Console.WriteLine("'4' Run a specific system.");
Console.WriteLine("With genetic optimization:");
Console.WriteLine("'f' Calculate all PDFs and scenarios only.");
Console.WriteLine("'a' Get the latest genetically optimal portfolio only.");
Console.WriteLine("'c' Assess (default) portfolio impact under scenarios.");
Console.WriteLine("'d' Assess (bestportRM1) portfolio impact under scenarios.");
Console.WriteLine("'e' Assess (bestportRM2) portfolio impact under scenarios.");
Console.Write("Choice: ");
sInput = Console.ReadLine();
}
else
{
sInput = args[0];
if (sInput[0] != '1' && sInput[0] != '2' &&
sInput[0] != '3' && sInput[0] != '4' &&
sInput[0] != 'a' &&
sInput[0] != 'c' && sInput[0] != 'd' &&
sInput[0] != 'e' && sInput[0] != 'f')
{
Console.WriteLine("Invalid choice.");
return;
}
}
if (sInput[0] == '1' || sInput[0] == '2')
{
IParam.LoadOptimal();
RuleBasedDayTradeSys rbdts = new RuleBasedDayTradeSys(IParam.SYSNAME.OPTIMAL,
IParam.DetailFilePath, "OM/pnl-OPTIMAL.txt", "OM/mr-OPTIMAL.txt", IParam.HSCIEXHSIFilePath, true);
RunOptionMedley(rbdts,
sInput[0] == '1' ? IParam.DataNewFilePath : IParam.DataOldFilePath);
}
else if (sInput[0] == '3')
{
foreach (IParam.SYSNAME sn in Enum.GetValues(typeof(IParam.SYSNAME)))
{
IParam.ResetPosSize();
IParam.PosSize[(int)sn] = 10000000;
RuleBasedDayTradeSys rbdts = new RuleBasedDayTradeSys(sn,
IParam.DetailFilePath, "OM/pnl-" + sn.ToString() + ".txt", "OM/mr-" + sn.ToString() + ".txt",
IParam.HSCIEXHSIFilePath, false);
RunOptionMedley(rbdts, IParam.DataOldFilePath);
}
}
else if (sInput[0] == '4')
{
IParam.ResetPosSize();
IParam.PosSize[17] = 10000000;
RuleBasedDayTradeSys rbdts = new RuleBasedDayTradeSys(IParam.SYSNAME.OPTIMAL,
IParam.DetailFilePath, "OM/pnl-OPTIMAL.txt", "OM/mr-OPTIMAL.txt", IParam.HSCIEXHSIFilePath, true);
RunOptionMedley(rbdts, IParam.DataOldFilePath);
}
else if (sInput[0] == 'f')
{
IParam.LoadParamSetA();
//run basic systems to get delta
IParam.LoadOptimal();
RuleBasedDayTradeSys rbdts = new RuleBasedDayTradeSys(IParam.SYSNAME.OPTIMAL,
IParam.DetailFilePath, "OM/pnl-OPTIMAL.txt", "OM/mr-OPTIMAL.txt", IParam.HSCIEXHSIFilePath, true);
RunOptionMedley(rbdts, IParam.DataNewFilePath);
//generate PDFs
VolatilitySurface.GenVolSmile_ImplPDF(rbdts);
rbdts.vs.ReadVolatilitySmileFromFile(true);
ScenarioProvider sp = new ScenarioProvider();
sp.GenerateScenarioFile_ScVolSmile(rbdts);
}
else if (sInput[0] == 'a')
{
IParam.LoadParamSetA();
bool bLoadBestPortFrmFile = true;
IParam.RUNMODE = 1;
string sInput6 = "";
string sInput7 = "";
if (args.Length >= 2)
{
sInput6 = args[1];
sInput7 = args[2];
}
else
{
Console.Write("Load best portfolio");
Console.Write(" [Y]/N: ");
sInput6 = Console.ReadLine();
Console.Write("Genetic Optimization Run Mode [1 = Full Scale / 2 = Adjust MyPort / 3 = Quick Full Scale]");
Console.Write(" [1]/2/3: ");
sInput7 = Console.ReadLine();
}
if (sInput6 != null && sInput6.Length != 0 && sInput6[0] == 'N')
{
bLoadBestPortFrmFile = false;
}
if (sInput7 != null && sInput7.Length != 0 && sInput7[0] == '2')
{
IParam.RUNMODE = 2;
}
if (sInput7 != null && sInput7.Length != 0 && sInput7[0] == '3')
{
IParam.RUNMODE = 3;
}
IParam.GeneticOptimizationRunMode();
//apply genetic optimization on that result
ScenarioProvider sp = new ScenarioProvider();
sp.ReadScenarioFile();
Genetic g = new Genetic();
PositionController pcMyPort = new PositionController(true);
pcMyPort.LoadPortfolioFrmFile(IParam.MyPortFilePath);
g.RunGeneticOptimizationGalaxy(sp, bLoadBestPortFrmFile, pcMyPort);
}
else if (sInput[0] == 'c' || sInput[0] == 'd' || sInput[0] == 'e')
{
StatHelper sh = new StatHelper(IParam.SCENARIOMAX);
SortedList sl = new SortedList();
PositionController pcMyPort = new PositionController(true);
pcMyPort.LoadPortfolioFrmFile(IParam.MyPortFilePath);
ScenarioProvider sp = new ScenarioProvider();
sp.ReadScenarioFile();
PositionController pc = new PositionController(true);
pc.SetPathsAndResetFile(IParam.AssessFilePath, IParam.AssessFilePath,
IParam.AssessFilePath, IParam.AssessFilePath, true);
RandomEngine re = new RandomEngine();
//load our default portfolio
IParam.RUNMODE = 1;
if (sInput[0] == 'd')
{
IParam.RUNMODE = 1;
}
else if (sInput[0] == 'e')
{
IParam.RUNMODE = 2;
}
IParam.GeneticOptimizationRunMode();
if (sInput[0] == 'c')
{
pc.LoadPortfolioFrmFile(IParam.DefaultPortFilePath);
}
else if (sInput[0] == 'd' || sInput[0] == 'e')
{
pc.LoadPortfolioFrmFile(IParam.BestPortFilePath);
}
//we output internal figures to make sure things are calculated right
pc.vs.VHSILatest = sp.StartingVolatility;
pc.MarkToMarket(sp.StartingPrice1, sp.StartingPrice2, sp.StartingDate, 0);
//pc.OutputDetails(sp.StartingDate.ToString());
//pc.OutputPositionInfoClose(sp.StartingDate, sp.StartingPrice1, sp.StartingPrice2, 3);
//pc.OutputDetails("---------------------------------------------------------------");
pc.OutputDetails("KYIERJ7");
string sBufferredScenarioDetailes = "";
for (int iSc = 0; iSc < sp.GetNoOfScenario(); iSc++)
{
//reset to starting condition
pc.vs.VHSILatest = sp.StartingVolatility;
pc.MarkToMarket(sp.StartingPrice1, sp.StartingPrice2, sp.StartingDate, 0);
pc.ResetCPnL();
pc.PenalizeCPnLPctgFrict(sp.StartingPrice1, sp.StartingPrice2, sp.StartingDate, 1);
//load scenario
double dScenarioProbability = 0;
DateTime dtScenarioEndingDate = sp.StartingDate; //just set it to sth
double dScenarioPrice1 = 0;
double dScenarioPrice2 = 0;
double dScenarioVolatility = 0;
sp.GetProbEndingDatePriceVolatility(iSc, ref dScenarioProbability, ref dtScenarioEndingDate, ref dScenarioPrice1, ref dScenarioPrice2, ref dScenarioVolatility);
//load scenario into PositionController
pc.vs.VHSILatest = dScenarioVolatility;
pc.MarkToMarket(dScenarioPrice1, dScenarioPrice2, dtScenarioEndingDate, 0);
pc.OutputPositionInfoClose(dtScenarioEndingDate, dScenarioPrice1, dScenarioPrice2, 3);
pc.PenalizeCPnLPctgFrict(dScenarioPrice1, dScenarioPrice2, dtScenarioEndingDate, 1);
//store it for calculation
sh.Add(pc.CPnL, (int)(dScenarioProbability * 1000));
if (!sl.ContainsKey(pc.CPnL))
{
sl.Add(pc.CPnL, dScenarioProbability);
}
else
{
sl[pc.CPnL] = (double)sl[pc.CPnL] + dScenarioProbability;
}
//buffer up intermediate results
sBufferredScenarioDetailes += "Scenario: " + iSc.ToString() + "\tCPnL: " +
Math.Round(pc.CPnL, 3).ToString() + "\t" +
(pc.CPnL == 0 ? "\t" : "") +
dtScenarioEndingDate.Year.ToString() + "-" +
dtScenarioEndingDate.Month.ToString() + "-" +
dtScenarioEndingDate.Day.ToString() + "\t" +
Math.Round(dScenarioProbability * 100, 1).ToString() + "%\t" +
Math.Round(dScenarioPrice1, 0).ToString() + "\t" +
Math.Round(dScenarioPrice2, 0).ToString() + "\t" +
Math.Round(dScenarioVolatility, 2).ToString() + "\n";
}
//output results
pc.OutputDetails(sBufferredScenarioDetailes);
pc.OutputDetails("------------------------------------------");
pc.OutputDetails("Expected Return: " + Math.Round(sh.AMean, 2).ToString());
string sTmp = "";
double dUtility =
Math.Round(Genetic.CalcUtilityScore(sh.AMean, sh.SemiVar, sh.SemiVar0,
//(double)sl.GetKey(0), (double)sl.GetByIndex(0),
(int)Math.Min(pc.AggCallPos, pc.AggPutPos),
pc.CompareOptCtrtDiff(pcMyPort),
true), 5);
sTmp += "Utility : " + dUtility.ToString();
sTmp += "\t";
double dScore =
Math.Round(Genetic.CalcUtilityScore(sh.AMean, sh.SemiVar, sh.SemiVar0,
//(double)sl.GetKey(0), (double)sl.GetByIndex(0),
(int)Math.Min(pc.AggCallPos, pc.AggPutPos),
pc.CompareOptCtrtDiff(pcMyPort),
false), 5);
sTmp += "Score : " + dScore.ToString();
pc.OutputDetails(sTmp);
double dAlpha = Math.Round(Genetic.GetPositionSizeAlpha(sh.X, sh.V), 2);
pc.OutputDetails("Kelly = " + Math.Round(IParam.HOWMUCHKELLY, 2) +
" , Alpha = " + dAlpha);
//reset to starting condition and print once
pc.vs.VHSILatest = sp.StartingVolatility;
pc.MarkToMarket(sp.StartingPrice1, sp.StartingPrice2, sp.StartingDate, 0);
pc.OutputDetails("-------------------------------------------------------");
pc.OutputDetails("Position size (Satellite futures):");
pc.OutputPositionInfoClose(sp.StartingDate, sp.StartingPrice1, sp.StartingPrice2, 3);
pc.OutputDetails("Portfolio Delta: " + (Math.Round(pc.GetPortDelta(sp.StartingDate, sp.StartingPrice1, sp.StartingPrice2), 2)).ToString());
//ok, now we calculate mess up the PositionController to calculate the equivalent regular contract size
//reset to starting condition
pc.MultiplyFutPsnSz(sp.StartingPrice1, sp.StartingDate, dAlpha, "ASS");
pc.MultiplyOptPsnSz(sp.StartingPrice1, sp.StartingDate, dAlpha / 5d, "ASS");
pc.OutputDetails("-------------------------------------------------------");
pc.OutputDetails("Position size after multiplying alpha:");
pc.OutputPositionInfoClose(sp.StartingDate, sp.StartingPrice1, sp.StartingPrice2, 4);
ExtensionMethods.PrintFileToConsole(IParam.AssessFilePath);
}
}