private void LoadPosition()
{
MyPosition pos = new MyPosition();
XmlSerializer serializer = new XmlSerializer(pos.GetType());
string path = string.Format("{0}_{1}.xml", Name, Instrument);
try
{
using (FileStream stream = new FileStream(path, FileMode.Open))
{
pos = (MyPosition)serializer.Deserialize(stream);
stream.Close();
if (pos.Amount != 0)
{
Portfolio.Add(pos.EntryDate, pos.Amount > 0 ? TransactionSide.Buy : TransactionSide.Sell,
Math.Abs(pos.Amount), Instrument, pos.Price, "从XML中初始化");
}
Console.WriteLine(string.Format("加载路径:{0},持仓:{1},价格:{2}", path, pos.Amount, pos.Price));
}
}
catch (Exception ex)
{
Console.WriteLine(ex);
}
}
void Download13F(object args)
{
this.portfolio = new Portfolio();
foreach (Form13F form in Edgar.FetchForm13Fs(args as string, 6))
{
portfolio.Add(form);
}
this.Invoke(new EnableDelegate(this.Enable));
}
public void QtyToNet(Instrument instrument, double NetQty, Portfolio Net)
{
double Qty = 0;
SmartQuant.Position p = Net.GetPosition(instrument);
if (p != null)
{
Qty = p.Qty;
}
double diff = NetQty - Qty;
if (diff > 0)
{
Net.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Buy, diff, 0, "Initial Position"));
}
else if (diff < 0)
{
Net.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Sell, -diff, 0, "Initial Position"));
}
}
public void QtyToLongShort(Instrument instrument, double LongQty, double ShortQty, Portfolio Long, Portfolio Short)
{
{
double Qty = 0;
SmartQuant.Position p = Long.GetPosition(instrument);
if (p != null)
{
Qty = p.Qty;
}
double diff = LongQty - Qty;
if (diff > 0)
{
Long.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Buy, diff, 0, "Initial Long Position"));
}
else if (diff < 0)
{
Long.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Sell, -diff, 0, "Initial Long Position"));
}
}
{
double Qty = 0;
SmartQuant.Position p = Short.GetPosition(instrument);
if (p != null)
{
Qty = p.Qty;
}
double diff = ShortQty - Qty;
if (diff > 0)
{
Short.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Sell, diff, 0, "Initial Short Position"));
}
else if (diff < 0)
{
Short.Add(new Fill(framework.Clock.DateTime, null, instrument, CurrencyId.CNY, SmartQuant.OrderSide.Buy, -diff, 0, "Initial Short Position"));
}
}
}
public void Add(Asset s)
{
if (_symbols.ContainsKey(s))
{
_symbols[s].Add(s);
}
else
{
_symbols.Add(s, new List <Asset> {
s
});
}
Portfolio.Add(s);
}
public PortfolioEntry Add_Html_Page(string title, string html)
{
var entry = new PortfolioEntry();
entry.Title = title;
entry.Type = PORTFOLIO_ENTRY_TYPE.HTML;
entry.Description = html;
entry.TenantId = TenantId;
//These fields are not used.
entry.Image = "";
Portfolio.Add(entry);
return(entry);
}
public void SetupAccount(string line)
{
string[] data = line.Split(" ");
string symbol = data[0];
double value = double.Parse(data[1]);
if (symbol == "Cash")
{
Balance = value;
}
else
{
Portfolio.Add(new Stock(symbol, value));
}
}
public PortfolioEntry Add_ImageAndDescription_Page(string title, string description, HttpPostedFileBase image)
{
var entry = new PortfolioEntry();
entry.Type = PORTFOLIO_ENTRY_TYPE.IMAGE;
entry.Title = title;
entry.Description = description;
entry.TenantId = TenantId;
if (image != null && image.ContentLength > 0)
{
entry.SaveImage(image);
}
Portfolio.Add(entry);
return(entry);
}
public PortfolioEntry Add_ImageAndDescription_Page(string type, string title, string description, string imagePath = null)
{
var entry = new PortfolioEntry();
entry.Type = type;
entry.Title = title;
entry.Description = description;
entry.TenantId = TenantId;
if (imagePath != null)
{
entry.Image = imagePath;
}
Portfolio.Add(entry);
return(entry);
}
public void Add_NoneOwnedPreviously_OneOwnedNow()
{
_portfolio.Add("NOK", 1);
_portfolio.Owned.ShouldBeEquivalentTo(new List <StockOwnership>
{
new StockOwnership
{
Symbol = "NOK",
Amount = 1
}
});
}
private void HandleStockTransaction(string symbol, string type, double numShares, double totalValue)
{
var stock = Portfolio.FirstOrDefault(s => s.Symbol == symbol);
// create and add stock to portfolio if not found
if (stock == null)
{
stock = new Stock(symbol, 0);
Portfolio.Add(stock);
}
if (type == "BUY")
{
Withdraw(totalValue);
stock.Buy(numShares);
}
else if (type == "SELL" || type == "DIVIDEND")
{
stock.Sell(numShares);
Deposit(totalValue);
}
}
public void PortfolioContructionTest()
{
Equity e;
Debt s;
InvestmentFund f;
Rating r;
AssetHolding ia;
Portfolio p;
try
{
using (var db = new FGABusinessComponent.BusinessComponent.FGAContext("PREPROD", compiledModel))
{
#if DEBUG
// xml seeder: le fichier xml est lu et est chargé comme valeurs par défaut
db.SaveChanges();
// ecriture du fichier pour permettre d avoir un fichier
FGABusinessComponent.BusinessComponent.Util.EFCodeFirstMethods.DumpDbCreationScriptToFile(db);
#endif
f = new InvestmentFund(ISIN: "ZZ11110000", FinancialInstrumentName: "Equity 1-Holding test", FinancialAssetTypeCategoryCode: FinancialAssetTypeCategoryCode.DEBT);
db.InvestmentFunds.Add(f);
p = new Portfolio(ISIN: "ZZ11110000", Date: new DateTime(9999, 12, 31), Name: "ExempleFonds1");
db.Portfolios.Add(p);
db.SaveChanges();
AssetPortfolioAssociation assoc = new AssetPortfolioAssociation(p, f);
f.UnderlyingPortfolio = assoc;
assoc.InvestmentAmount = new CurrencyAndAmount();
assoc.InvestmentAmount.Value = 5;
assoc.InvestmentAmount.Currency = (CurrencyCode)"EUR";
db.AssetPortfolioAssociations.Add(assoc);
db.SaveChanges();
s = new Debt(ISIN: "PP11110000", FinancialInstrumentName: "Debt 1-Portfolio test", MaturityDate: new DateTime(2013, 1, 1), interestCoupon: new InterestCalculation(new PercentageRate(1.666), new FrequencyCode(1)));
db.Debts.Add(s);
ia = new AssetHolding(Date: this.dateOfData, ISIN: s.ISINId, HoldAsset: s, Holder: p, Quantity: 100);
db.AssetHoldings.Add(ia);
p.Add(ia);
e = new Equity(ISIN: "PP11110000", FinancialInstrumentName: "Equity 1-Portfolio test");
db.Equities.Add(e);
ia = new AssetHolding(Date: this.dateOfData, ISIN: e.ISINId, Holder: p, HoldAsset: e, Quantity: 200);
db.AssetHoldings.Add(ia);
p.Add(ia);
s = new Debt(ISIN: "PP22220000", FinancialInstrumentName: "Debt 2-Portfolio test", MaturityDate: new DateTime(2013, 1, 1), interestCoupon: new InterestCalculation(new PercentageRate(1.666), new FrequencyCode(1)));
db.Debts.Add(s);
ia = new AssetHolding(Date: this.dateOfData, ISIN: s.ISINId, Holder: p, HoldAsset: s, Quantity: 300);
db.AssetHoldings.Add(ia);
p.Add(ia);
db.SaveChanges();
}
}
catch (Exception ex)
{
System.Console.WriteLine(ex);
throw ex;
}
}
public void Add(IAsset s)
{
Portfolio.Add(s);
}
private void Calculate()
{
if (TrainingSession.TestingHistoricalData.Quotes.Count != Signals.Count)
{
return;
}
Trade lastSellTrade = null;
foreach (var quote in TrainingSession.TestingHistoricalData.Quotes)
{
var indexOfToday = TrainingSession.TestingHistoricalData.Quotes.IndexOfKey(quote.Key);
var indexTomorrow = indexOfToday < TrainingSession.TestingHistoricalData.Quotes.Count - 2
? indexOfToday + 1
: indexOfToday;
var transactionBuyPrice = TrainingSession.TestingHistoricalData.Quotes.ElementAt(indexOfToday).Value.Close;
var transactionSellPrice = TrainingSession.TestingHistoricalData.Quotes.ElementAt(indexOfToday).Value.Close;
if (lastSellTrade == null || (quote.Key.Date - lastSellTrade.Date.Date).Days >=
TrainingSession.NumberDaysBetweenTransactions)
{
if (Signals[quote.Key] == SignalEnum.Buy &&
Portfolio.GetMaxPurchaseVolume(TrainingSession.Stock, quote.Key,
transactionBuyPrice) > 1)
{
int maxPurchaseVolume =
Portfolio.GetMaxPurchaseVolume(TrainingSession.Stock, quote.Key, transactionBuyPrice);
var trade = new Trade
{
Type = TransactionEnum.Buy,
Stock = TrainingSession.Stock,
Date = quote.Key,
NumberOfShares = maxPurchaseVolume,
Price = transactionBuyPrice
};
Portfolio.Add(trade);
}
}
if (Signals[quote.Key] == SignalEnum.Sell &&
Portfolio.GetHoldings(quote.Key).ContainsKey(TrainingSession.Stock))
{
lastSellTrade = new Trade
{
Type = TransactionEnum.Sell,
Stock = TrainingSession.Stock,
Date = quote.Key,
NumberOfShares = Portfolio.GetHoldings(quote.Key)[TrainingSession.Stock],
Price = transactionSellPrice
};
CompleteTransactions.Add(new CompleteTransaction(Portfolio.Trades.Last().Value, lastSellTrade));
Portfolio.Add(lastSellTrade);
}
}
if (Portfolio.GetHoldings(TrainingSession.TestingHistoricalData.EndDate).Any())
{
var trade = new Trade
{
Type = TransactionEnum.Sell,
Stock = TrainingSession.Stock,
Date = TrainingSession.TestingHistoricalData.EndDate,
NumberOfShares =
Portfolio.GetHoldings(TrainingSession.TestingHistoricalData.EndDate)[TrainingSession.Stock],
Price = TrainingSession.TestingHistoricalData.Quotes[TrainingSession.TestingHistoricalData.EndDate].Close
};
CompleteTransactions.Add(new CompleteTransaction(Portfolio.Trades.Last().Value, trade));
Portfolio.Add(trade);
}
}
