public override void Initialize()
{
base.Initialize();
Administrator.CreateEPL("create window PriceWindow.std:groupwin(InstrumentKey).std:lastevent() as PriceEvent");
Administrator.CreateEPL("insert into PriceWindow select * from PriceEvent");
var statement = Administrator.CreateEPL("on DailyMarketCloseEvent as MarketCloseEvent select MarketCloseEvent.EventTime as EventTime, Price.InstrumentKey as InstrumentKey, Price.Price as Price from PriceWindow as Price");
statement.Events += (sender, e) =>
{
var prices = (from @event in e.NewEvents
select new KeyValuePair <string, double>((string)@event["InstrumentKey"], (double)@event["Price"])).ToDictionary(p => p.Key, p => p.Value);
var closePricesEvent = new ClosePricesEvent {
Prices = prices
};
var feedbackEvent = new FeedbackEvent("PriceChanged", closePricesEvent);
OnFeedback(new EventEventArgs(feedbackEvent));
};
statement = Administrator.CreateEPL("select * from StockSplitEvent");
statement.Events += (sender, e) =>
{
var stockSplitEvent = (StockSplitEvent)e.NewEvents[0].Underlying;
var feedbackEvent = new FeedbackEvent("StockSplit", stockSplitEvent);
OnFeedback(new EventEventArgs(feedbackEvent));
};
statement = Administrator.CreateEPL("select * from TradeEvent");
statement.Events += (sender, e) =>
{
var tradeEvent = (TradeEvent)e.NewEvents[0].Underlying;
var feedbackEvent = new FeedbackEvent("Trade", tradeEvent);
OnFeedback(new EventEventArgs(feedbackEvent));
};
}
private void NewPricesArrived(ClosePricesEvent closePricesEvent)
{
var prices = closePricesEvent.Prices;
var positions = Context.PortfolioManager.GetPosition();
var marketValues = (from position in positions
let price = prices[position.Key]
select new { InstrumentKey = position.Key, Value = position.Value * price, Price = price }).ToArray();
var total = marketValues.Sum(v => v.Value);
#if DEBUG
Console.WriteLine("Strategy");
foreach (var marketValue in marketValues)
{
Console.WriteLine("[{0}] Ratio: {1:P2}", marketValue.InstrumentKey, marketValue.Value / total);
}
#endif
var exceptions = (from threshold in _thresholds
join marketValue in marketValues on threshold.InstrumentKey equals marketValue.InstrumentKey
let ratio = marketValue.Value / total
where ratio <threshold.LowerLimit || ratio> threshold.UpperLimit
select new { Threshold = threshold, MarketValue = marketValue, Ratio = ratio, Direction = ratio < threshold.LowerLimit ? "Lower" : "Upper" }).ToArray();
#if DEBUG
Console.ForegroundColor = ConsoleColor.Red;
foreach (var exception in exceptions)
{
Console.WriteLine("[{0}] Ratio: {3:P2} Threshold: {1:P2}/{2:P2} ",
exception.MarketValue.InstrumentKey, exception.Threshold.LowerLimit, exception.Threshold.UpperLimit, exception.Ratio);
}
Console.ResetColor();
#endif
var orders = (from exception in exceptions
let instrumentKey = exception.MarketValue.InstrumentKey
let threshold = exception.Threshold
let delta = exception.Direction == "Lower" ? threshold.LowerLimit - exception.Ratio : threshold.UpperLimit - exception.Ratio
select new OrderEvent
{
EventTime = EventEngine.CurrenTime,
InstrumentKey = instrumentKey,
Quantity = delta * positions[instrumentKey],
Price = prices[instrumentKey]
}).ToArray();
#if DEBUG
Console.ForegroundColor = ConsoleColor.Red;
foreach (var order in orders)
{
Console.WriteLine(@order);
}
Console.ResetColor();
Console.WriteLine();
#endif
if (orders.Any())
{
Context.TradingEngine.ExcuteOrders(orders);
}
}
