private void Init(RebalanceInput input)
{
m_input = input ?? throw new ArgumentNullException(nameof(input));
if (m_input.MaxOrderCount < 1 || m_input.MaxOrderCount > input.Portfolio.Count)
{
throw new ArgumentOutOfRangeException(nameof(input.MaxOrderCount));
}
m_maxDepth = m_input.MaxOrderCount - 1;
m_result = new RebalanceResult();
}
public RebalanceResult Rebalance(RebalanceInput input)
{
var bestPercentage = decimal.MaxValue;
List <ETFItem> bestPortfolio = null;
// When the max order amount is minimized, we get all possible item
// combinations to try out
var combinations = input.Portfolio.GetKCombs(input.MaxOrderCount);
var mutex = new object();
// for each possible combination...
combinations.AsParallel().ForAll(c =>
{
// Simulating investment with this combination
var newPortfolio = SimulateInvestment(input, c);
// Calculating final percentage for this combination
var newPercentage = CalculateCurrentAllocation(newPortfolio);
lock (mutex)
{
// if combination ends up better than the previous combinations, remember it
if (newPercentage < bestPercentage)
{
bestPercentage = newPercentage;
bestPortfolio = newPortfolio;
}
}
});
// Calculation is done, creating the orders and returning the final result
List <Order> order = new List <Order>();
foreach (var item in input.Portfolio)
{
var itemAfter = bestPortfolio.First(p => p.ISIN == item.ISIN);
if (itemAfter.CurrentlyOwned > item.CurrentlyOwned)
{
order.Add(new Order {
ISIN = itemAfter.ISIN, CurrentPrice = itemAfter.CurrentPrice, OrderAmount = (short)(itemAfter.CurrentlyOwned - item.CurrentlyOwned)
});
}
}
var result = new RebalanceResult();
result.Percentage = bestPercentage;
result.Orders = order;
return(result);
}
