/// <summary>
/// Simulate a day in the market.
/// </summary>
public void Simulate()
{
if (CurrentDate != EndDate)
{
CurrentDate = CurrentDate.AddDays(1);
StockDay = DataManager.IsStockDay(CurrentDate);
// before we even bother with any calculations, we need to
// make sure the stock market was open on this given day
if (StockDay)
{
UpdateMarketState();
StockDays.Add(CurrentDate);
Log("Stockday on " + CurrentDate + ", proceeding...");
// how has our equity changed over postmarket and premarket
for (int i = 0; i < Positions.Count; i++)
{
List <BarData> history = MarketState.FirstOrDefault(x => x.Key == Positions[i].Symbol).Value;
// how much has the stock changed in value overnight?
double change = history.Last().Open - history[history.Count - 2].Close;
// change our equity!
Equity += change * Positions[i].Shares;
}
// process orders
ProcessAllOrders();
// with our new positions, how will our equity change today?
for (int i = 0; i < Positions.Count; i++)
{
List <BarData> history = MarketState.FirstOrDefault(x => x.Key == Positions[i].Symbol).Value;
// how much has the stock changed in value overnight?
double change = history.Last().Close - history.Last().Open;
// change our equity!
Equity += change * Positions[i].Shares;
// update the position value
Positions[i].PriceHistory.Add(new Tuple <DateTime, double, double>(CurrentDate, history.Last().Close, change));
}
// allow the strategy to make calls for the next day
Strategy.Update(this);
// process all logs for the day
ProcessLogs();
}
EquityHistory.Add(new Tuple <DateTime, double>(CurrentDate, Equity));
BuyingPowerHistory.Add(new Tuple <DateTime, double>(CurrentDate, BuyingPower));
}
else
{
throw new Exception("Simulation is already complete.");
}
}
/// <summary>
/// Processes orders and box orders.
/// </summary>
private void ProcessAllOrders()
{
// now, what orders were placed overnight?
for (int i = 0; i < Orders.Count; i++)
{
List <BarData> history = MarketState.FirstOrDefault(x => x.Key == Orders[i].Symbol).Value;
if (Orders[i].ActionType == ActionType.Buy)
{
if (Orders[i].OrderType == OrderType.Limit)
{
double realBuyPrice = -1;
// has the stocks price gone over or below the limit price today?
if (history.Last().High >= Orders[i].LimitPrice &&
history.Last().Low <= Orders[i].LimitPrice)
{
realBuyPrice = Orders[i].LimitPrice;
}
else if (Orders[i].LimitPrice <history.Last().Open&& Orders[i].LimitPrice> history[history.Count - 2].High)
{
realBuyPrice = history.Last().Open;
}
else if (Orders[i].LimitPrice > history.Last().Open&& Orders[i].LimitPrice < history[history.Count - 2].Low)
{
realBuyPrice = history.Last().Open;
}
if (realBuyPrice != -1)
{
// if so, can we afford to buy this many shares?
if (Orders[i].LimitPrice * Orders[i].Shares <= BuyingPower)
{
// buy the shares!
BuyingPower -= realBuyPrice * Orders[i].Shares;
// place a position
Positions.Add(new Position(Orders[i].Symbol, Orders[i].Shares, realBuyPrice, CurrentDate));
// fire event
Strategy.ProcessOrder(this, Orders[i], realBuyPrice);
// log
Log("Bought " + Orders[i].Shares + " shares of " + Orders[i].Symbol + " for $" + realBuyPrice + " per share.");
// remove this order
Orders.Remove(Orders[i]);
}
}
}
else if (Orders[i].OrderType == OrderType.Market)
{
if (history.Last().Open *Orders[i].Shares <= BuyingPower)
{
// buy the shares!
BuyingPower -= history.Last().Open *Orders[i].Shares;
// place a position
Positions.Add(new Position(Orders[i].Symbol, Orders[i].Shares, history.Last().Open, CurrentDate));
// fire event
Strategy.ProcessOrder(this, Orders[i], history.Last().Open);
// log
Log("Bought " + Orders[i].Shares + " shares of " + Orders[i].Symbol + " for $" + history.Last().Open + " per share.");
// remove this order
Orders.Remove(Orders[i]);
}
}
}
else if (Orders[i].ActionType == ActionType.Sell)
{
if (Orders[i].OrderType == OrderType.Limit)
{
double realSellPrice = -1;
// has the stocks price gone over or below the limit price today?
if (history.Last().High >= Orders[i].LimitPrice &&
history.Last().Low <= Orders[i].LimitPrice)
{
realSellPrice = Orders[i].LimitPrice;
}
else if (Orders[i].LimitPrice <history.Last().Open&& Orders[i].LimitPrice> history[history.Count - 2].High)
{
realSellPrice = history.Last().Open;
}
else if (Orders[i].LimitPrice > history.Last().Open&& Orders[i].LimitPrice < history[history.Count - 2].Low)
{
realSellPrice = history.Last().Open;
}
if (realSellPrice != -1)
{
// sell the shares!
BuyingPower += realSellPrice * Orders[i].Shares;
Equity += (realSellPrice - history.Last().Open) * Orders[i].Shares;
int toRemove = Orders[i].Shares;
List <Position> positionsToRemove = new List <Position>();
// remove the position
for (int j = 0; j < Positions.Count; j++)
{
if (Positions[j].Symbol == Orders[i].Symbol)
{
if (Positions[j].BuyPrice >= realSellPrice)
{
Losses++;
}
else
{
Wins++;
}
if (Positions[j].Shares > toRemove)
{
Positions[j].Shares -= toRemove;
break;
}
else if (Positions[j].Shares == toRemove)
{
positionsToRemove.Add(Positions[j]);
break;
}
else if (Positions[j].Shares < toRemove)
{
positionsToRemove.Add(Positions[j]);
toRemove -= Positions[j].Shares;
}
}
}
foreach (Position pos in positionsToRemove)
{
Positions.Remove(pos);
}
// fire event
Strategy.ProcessOrder(this, Orders[i], realSellPrice);
// log
Log("Sold " + Orders[i].Shares + " shares of " + Orders[i].Symbol + " for $" + realSellPrice + " per share.");
// remove this order
Orders.Remove(Orders[i]);
}
}
else if (Orders[i].OrderType == OrderType.Market)
{
// sell the shares!
BuyingPower += history.Last().Open *Orders[i].Shares;
int toRemove = Orders[i].Shares;
List <Position> positionsToRemove = new List <Position>();
// remove the position
for (int j = 0; j < Positions.Count; j++)
{
if (Positions[j].Symbol == Orders[i].Symbol)
{
if (Positions[j].BuyPrice >= history.Last().Open)
{
Losses++;
}
else
{
Wins++;
}
if (Positions[j].Shares > toRemove)
{
Positions[j].Shares -= toRemove;
break;
}
else if (Positions[j].Shares == toRemove)
{
positionsToRemove.Add(Positions[j]);
break;
}
else if (Positions[j].Shares < toRemove)
{
positionsToRemove.Add(Positions[j]);
toRemove -= Positions[j].Shares;
}
}
}
foreach (Position pos in positionsToRemove)
{
Positions.Remove(pos);
}
// fire event
Strategy.ProcessOrder(this, Orders[i], history.Last().Open);
// log
Log("Sold " + Orders[i].Shares + " shares of " + Orders[i].Symbol + " for $" + history.Last().Open + " per share.");
// remove this order
Orders.Remove(Orders[i]);
}
}
}
// now, what box orders were placed overnight?
for (int i = 0; i < BoxOrders.Count; i++)
{
List <BarData> history = MarketState.FirstOrDefault(x => x.Key == BoxOrders[i].Symbol).Value;
if (BoxOrders[i].ActionType == ActionType.Buy)
{
// todo:
}
else if (BoxOrders[i].ActionType == ActionType.Sell)
{
double realSellPrice = -1;
// has the stocks price gone over or below either of the limit prices today?
if (history.Last().High >= BoxOrders[i].UpperLimitPrice &&
history.Last().Low <= BoxOrders[i].UpperLimitPrice)
{
realSellPrice = BoxOrders[i].UpperLimitPrice;
}
else if (history.Last().High >= BoxOrders[i].LowerLimitPrice &&
history.Last().Low <= BoxOrders[i].LowerLimitPrice)
{
realSellPrice = BoxOrders[i].LowerLimitPrice;
}
else if (BoxOrders[i].UpperLimitPrice <history.Last().Open&& BoxOrders[i].UpperLimitPrice> history[history.Count - 2].High)
{
realSellPrice = history.Last().Open;
}
else if (BoxOrders[i].LowerLimitPrice <history.Last().Open&& BoxOrders[i].LowerLimitPrice> history[history.Count - 2].High)
{
realSellPrice = history.Last().Open;
}
else if (BoxOrders[i].UpperLimitPrice > history.Last().Open&& BoxOrders[i].UpperLimitPrice < history[history.Count - 2].Low)
{
realSellPrice = history.Last().Open;
}
else if (BoxOrders[i].LowerLimitPrice > history.Last().Open&& BoxOrders[i].LowerLimitPrice < history[history.Count - 2].Low)
{
realSellPrice = history.Last().Open;
}
if (realSellPrice != -1)
{
// sell the shares!
BuyingPower += realSellPrice * BoxOrders[i].Shares;
Equity += (realSellPrice - history.Last().Open) * BoxOrders[i].Shares;
int toRemove = BoxOrders[i].Shares;
List <Position> positionsToRemove = new List <Position>();
// remove the position
for (int j = 0; j < Positions.Count; j++)
{
if (Positions[j].Symbol == BoxOrders[i].Symbol)
{
if (Positions[j].BuyPrice >= realSellPrice)
{
Losses++;
}
else
{
Wins++;
}
if (Positions[j].Shares > toRemove)
{
Positions[j].Shares -= toRemove;
break;
}
else if (Positions[j].Shares == toRemove)
{
positionsToRemove.Add(Positions[j]);
break;
}
else if (Positions[j].Shares < toRemove)
{
positionsToRemove.Add(Positions[j]);
toRemove -= Positions[j].Shares;
}
}
}
foreach (Position pos in positionsToRemove)
{
Positions.Remove(pos);
}
// fire event
Strategy.ProcessBoxOrder(this, BoxOrders[i], realSellPrice);
// log
Log("Sold " + BoxOrders[i].Shares + " shares of " + BoxOrders[i].Symbol + " for $" + realSellPrice + " per share.");
// remove this order
BoxOrders.Remove(BoxOrders[i]);
}
}
}
}