//c'tor - gets ref to initiating cBot
public Strategy(Object[] parameters, MultiStage3 value)
{
this.cBot = value;
//this.Name = this.GetType().Name;
this.Parameters = parameters;
this.Code = this.Name + string.Concat(parameters);
}
//c'tor overload
public SortedPositions(String symbol, MultiStage3 cBot)
{//for use in dictionary making class, allows use of AddPosition() to incrementally build,
//and calling UpdateAll() when done
this.cBot = cBot;
this.Symbol = symbol;
this.CompositePositions = null; //to be built in UpdateAll()
this.LongPositions = new List <Position>();
this.ShortPositions = new List <Position>();
this.ShortExposureVol = 0L;
this.LongExposureVol = 0L;
}
//c'tor
public SortedPositions(List <Position> compositePositions, MultiStage3 cBot)
{//requires all positions in composite list to be of same symbol
Contract.Requires <ArgumentNullException>(compositePositions != null);
this.CompositePositions = compositePositions;
this.cBot = cBot;
this.Symbol = null;
this.LongPositions = new List <Position>();
this.ShortPositions = new List <Position>();
this.ShortExposureVol = 0L;
this.LongExposureVol = 0L;
UpdateAll();
}
} //level to rebalance at
//public int sRcushionTicks { get; set; }//# of ticks b4 s/r as cushion for target
//c'tor
public PingPongStrategy(Object[] parameters, MultiStage3 cBot) : base(parameters, cBot)
{//can add another c'tor to take params minAF, etc.
this.ticksBeyondVWAEforRebalance = 100;
//this.sRcushionTicks = 50;
this.Name = "pingpong";
}
//c'tor
public PsarStrategy(MultiStage3 value) : base(value)
{//can add another c'tor to take params minAF, etc.
this.minAF = 0.002;
this.maxAF = 0.02;
}
internal Dictionary <string, SortedPositions> GetSortedPositionsDictionary(List <Position> psns, MultiStage3 cBot)
{//from pos. ref. list, returns dictionary of sorted psns by symbol as key
var dic = new Dictionary <string, SortedPositions>();
foreach (var pos in psns)
{
if (!dic.ContainsKey(pos.SymbolCode))
{//if this symbol does not exist in dictionary, create a SortedPositions obj for it
dic.Add(pos.SymbolCode, new SortedPositions(pos.SymbolCode, cBot));
}
else
{//if this symbol key exists in dictionary, add this position to the SortedPosition obj
SortedPositions sp;
var result = dic.TryGetValue(pos.SymbolCode, out sp);
if (result)
{
sp.AddPosition(pos);
}
dic[pos.SymbolCode] = sp;
}
}
foreach (SortedPositions sp in dic.Values)
{//now that all S.P. obj are populated, call UpdateAll() on each to calc. stats.
sp.UpdateAll();
}
return(dic);
//GetSortedPositionsDictionary
}
//c'tor
public DataOps(MultiStage3 cBot)
{
this.cBot = cBot;
pdto = new PositionsDataTableOps(this); //dependency for dfo
pdfo = new PositionsDataFileOps(this, pdto);
}
