internal void AddWts(Construct construct_, TraderArgs args_, Trader trader_)
{
checkedListBox2.Items.Add(new WtsWrapper(construct_,trader_,args_) , true);
}
internal static void SaveWeightsFX(TraderArgs args_, ConstructGen<double> wts_, string stratName_)
{
foreach (DateTime date in wts_.Dates)
{
Dictionary<Data.Currency, double> wtsToday = new Dictionary<Data.Currency, double>();
for (int i = 0; i < args_.Products.Count; ++i)
{
Data.Currency ccy = ((ProductFX)args_.Products[i]).CoreProduct;
wtsToday.Add(ccy, wts_.GetValue(date, i));
}
//FXPositionSaver.SavePortfolio(stratName_, date, args_.ScaleToThisVol, wtsToday);
}
}
public WtsWrapper(Construct wts_, Trader trdr_, TraderArgs args_)
{
Weights = wts_;
Trader = trdr_;
Args = args_;
}
private TraderArgs buildArgs()
{
TraderArgs args = new TraderArgs();
try
{
btnTrade.Enabled = false;
// products
if (m_model.ProductType == ProductType.Commods)
foreach (var pc in m_model.ComProductList)
args.Products.Add(pc);
else if (m_model.ProductType == ProductType.FX)
foreach (ProductFX pc in m_model.FXProductList)
args.Products.Add(pc);
else if (m_model.ProductType == ProductType.Dynamic)
args.Products.Add(new ProductBbg(tbDynamic.Text));
else if (m_model.ProductType==ProductType.EquityFutures)
foreach (ProductGeneric pc in m_model.EquityFutureProductList)
args.Products.Add(pc);
else if (m_model.ProductType==ProductType.FIFutures)
foreach (ProductGeneric pc in m_model.FixedIncomeFuturesProducList)
args.Products.Add(pc);
/*else if (m_model.ProductType == ProductType.ComSpread)
foreach (ProductComSpread pcs in m_model.ComSpreadProductList)
args.Products.Add(pcs);
else if (m_model.ProductType == ProductType.FXCross)
foreach (ProductFXCross pcs in m_model.FXCrossProducts)
args.Products.Add(pcs);
*/
if (args.Products.Count == 0)
return null;
// rebal
args.RebalFrequency = m_model.RebalFreq;
args.DayOfWeek = m_model.DayOfWeek;
args.MonthlyDayStart = m_model.DayOfMonth;
args.DayOffset = m_model.DayOffset;
// strat combine method
args.CombineWeightArgs = m_combWtArgs;
// filter signals
foreach (IndicatorBase ind in lbFilters.Items)
args.FilterIndicators.Add(ind);
// wt signals
if (ultraTabControl1.Tabs.Count == 0)
{
MessageBox.Show("You need to add at least one indicator to trade.");
return null;
}
foreach (UltraTab ut in ultraTabControl1.Tabs)
{
IndicatorBase indic = (IndicatorBase)ut.Tag;
args.WtIndicators.Add(indic);
}
// scale to vol
args.ScaleToVol = m_model.ScaleToVol;
args.ScaleToThisVol = m_model.ScaleToThisVol;
args.ScaleUsingDiagMatrix = cbDiagCovOnly.Checked;
args.VolTypeForScaling = m_model.VolTypeForScaling;
args.HistCovWindowLength = m_model.HistCovWindowLength;
// constrain weights?
args.WtConstraints = (TraderArgs.WeightConstraints)m_weightConstraints.Clone();
//xargs.WtConstraints = m_weightConstraints;
//xargs.TriggerArgs = m_triggerARgs;
args.TriggerArgs = (TriggerArgs)m_triggerARgs.Clone();
args.UseWeightsForFilter = cbUseSignalsForFilters.Checked;
}
catch //(Exception ex_)
{
args = null;
}
return args;
}