/// <summary>
/// Gets the multiplier by which all trade volumes from this component are multipied before using in portfolio and correlation analysis.
/// </summary>
public static void UpdateComponentNormalizationMultiplier(this PortfolioComponent component, PortfolioSimulation sim)
{
double multiplier = 1.0;
var minTradeVolumeForSymbol = component.SymbolHandle.GetMinTradeVolumeForSymbol();
if (sim.Options.VolumeNormalization.ReductionMode?.HasFlag(VolumeNormalizationReductionMode.DivideByMinimumsMultipleOfMinimumAllowedTradeSize) == true)
{
var min = component.MinAbsoluteVolume;
if (min > minTradeVolumeForSymbol)
{
multiplier *= minTradeVolumeForSymbol / min;
#if DEBUG
if (sim.Options.Verbosity >= 5)
{
Console.WriteLine($"[VolumeNormalize] component absolute min: {min}, min for symbol {component.BacktestResult.Symbol}: {minTradeVolumeForSymbol}, multiplier: {multiplier}");
}
#endif
}
}
if (sim.Options.VolumeNormalization.ReductionMode?.HasFlag(VolumeNormalizationReductionMode.DivideByMinimumAllowedTradeVolume) == true)
{
multiplier /= minTradeVolumeForSymbol;
}
component.NormalizationMultiplier = multiplier;
}
private static double NormalizeVolumeSource(PortfolioSimulation sim, PortfolioComponent component, double unnormalizedVolume)
{
double value = unnormalizedVolume * component.NormalizationMultiplier.Value;
#if DEBUG
if (sim.Options.VolumeNormalization.MaxSourceValue.HasValue && value > sim.Options.VolumeNormalization.MaxSourceValue.Value)
{
if (sim.Options.Verbosity >= 6)
{
Console.WriteLine($"Capping normalized volume of {value} to max: {sim.Options.VolumeNormalization.MaxSourceValue.Value}");
}
}
#endif
value = Math.Min(value, sim.Options.VolumeNormalization.MaxSourceValue.Value);
return(value);
}
public Correlation(PortfolioComponent component1, PortfolioComponent component2)
{
this.Component1 = component1;
this.Component2 = component2;
SameSymbol = component1.BacktestResultId == component2.BacktestResultId;
}
