public StockWeights AdjustWeights(StockWeights currentWeights, StockWeights targetWeights, decimal toBuyInverseRatio)
{
// Starting from: cn * C + bn * B = tn * T
// , where cn - weight for stock 'n', C - total current stock value
// , bn - to buy weight for stock 'n', B - to buy available amount
// , tn - target weight for stock 'n', T - total final stock value
// We get: bn = tn * (C / B + 1) - cn * (C / B), where C / B is the to buy inverse ratio
// With first constraint that bn >= 0 which results in: cn <= tn * (1 + B / C)
// With second constraint that b1 + b2 + ... + bn = 1
// Apply the first constraint and remove the target weights that don't fulfill it
var allowedWeights = targetWeights
.Where(w => toBuyInverseRatio == 0 || // 0 only on the first buy
SafeGetCurrentWeight(w.Key) <= w.Value * (1 + 1 / toBuyInverseRatio))
.OrderByDescending(w => w.Value)
.AsStockWeights();
// Redistribute the removed weights to the other weights
allowedWeights = allowedWeights.Redistribute();
var toBuyWeights = allowedWeights
.Select(w => (w.Key, w.Value * (toBuyInverseRatio + 1) - SafeGetCurrentWeight(w.Key) * toBuyInverseRatio))
.AsStockWeights();
// Enforce the second constraint
return(toBuyWeights.Redistribute());
decimal SafeGetCurrentWeight(string symbol)
{
if (currentWeights.ContainsKey(symbol))
{
return(currentWeights[symbol]);
}
return(0);
}
}
