/// <summary>
/// Simulate a day in the market.
/// </summary>
public void Simulate()
{
if (CurrentDate != EndDate)
{
CurrentDate = CurrentDate.AddDays(1);
StockDay = DataManager.IsStockDay(CurrentDate);
// before we even bother with any calculations, we need to
// make sure the stock market was open on this given day
if (StockDay)
{
UpdateMarketState();
StockDays.Add(CurrentDate);
Log("Stockday on " + CurrentDate + ", proceeding...");
// how has our equity changed over postmarket and premarket
for (int i = 0; i < Positions.Count; i++)
{
List <BarData> history = MarketState.FirstOrDefault(x => x.Key == Positions[i].Symbol).Value;
// how much has the stock changed in value overnight?
double change = history.Last().Open - history[history.Count - 2].Close;
// change our equity!
Equity += change * Positions[i].Shares;
}
// process orders
ProcessAllOrders();
// with our new positions, how will our equity change today?
for (int i = 0; i < Positions.Count; i++)
{
List <BarData> history = MarketState.FirstOrDefault(x => x.Key == Positions[i].Symbol).Value;
// how much has the stock changed in value overnight?
double change = history.Last().Close - history.Last().Open;
// change our equity!
Equity += change * Positions[i].Shares;
// update the position value
Positions[i].PriceHistory.Add(new Tuple <DateTime, double, double>(CurrentDate, history.Last().Close, change));
}
// allow the strategy to make calls for the next day
Strategy.Update(this);
// process all logs for the day
ProcessLogs();
}
EquityHistory.Add(new Tuple <DateTime, double>(CurrentDate, Equity));
BuyingPowerHistory.Add(new Tuple <DateTime, double>(CurrentDate, BuyingPower));
}
else
{
throw new Exception("Simulation is already complete.");
}
}
public Account(IStrategy strategy, DateTime startDate, DateTime endDate, double equity, bool halfBake)
{
Strategy = strategy;
StartDate = startDate;
CurrentDate = startDate;
EndDate = endDate;
InitialEquity = equity;
BuyingPower = equity;
Equity = equity;
HalfBake = halfBake;
EquityHistory.Add(new Tuple <DateTime, double>(startDate, equity));
BuyingPowerHistory.Add(new Tuple <DateTime, double>(startDate, BuyingPower));
ID = new Random().Next(1000000, 9999999);
}
internal void Update(DateTime time, double equity)
{
if (IsFirstRecord)
{
StartingEquity = equity;
}
IsFirstRecord = false;
EquityHistory.Add(new IndicatorDataPoint(time, equity));
BalancePeak = equity > BalancePeak ? equity : BalancePeak;
if (BalancePeak - equity > MaxDrowDown)
{
MaxDrowDown = BalancePeak - equity;
}
Profit = equity - StartingEquity;
if (MaxDrowDown != 0)
{
ProfitOverMaxDrowDown = Profit / MaxDrowDown;
}
}
